Dynamic assessment indices

This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, allows us to significantly generalize existing results is the theory of -modules. In the fi...

Full description

Saved in:
Bibliographic Details
Published in:Stochastics (Abingdon, Eng. : 2005) Eng. : 2005), 2016-01, Vol.88 (1), p.1-44
Main Authors: Bielecki, Tomasz R., Cialenco, Igor, Drapeau, Samuel, Karliczek, Martin
Format: Article
Language:English
Subjects:
Acceptability
assessment indices
Assessments
certainty equivalent
dynamic acceptability index
dynamic GLR
dynamic measures of performance
dynamic risk measures
Dynamic structural analysis
Dynamic tests
Dynamics
Mathematical analysis
Representations
Stochastic processes
strong time consistency
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, allows us to significantly generalize existing results is the theory of -modules. In the first part of the paper we develop the general theory and provide a robust representation of conditional assessment indices, and in the second part we apply this theory to dynamic acceptability indices acting on stochastic processes.
ISSN:1744-2508
1744-2516
DOI:10.1080/17442508.2015.1026346