Dynamic risk measures for discrete-time process

Shi An; Jian Sun; Yan Wang

doi:10.1109/COGINF.2006.365595

Dynamic risk measures for discrete-time process

Shi An^*
, Jian Sun
, Yan Wang

^*Corresponding author for this work

School of Management

Harbin Institute of Technology

Research output: Contribution to conference › Paper › peer-review

Abstract

In this paper, we establish a class of dynamic risk measures for evaluating discrete-time process. Our research is mostly concentrated on the properties of dynamic risk measures. The properties of risk measures in the static framework, are introduced into the dynamic risk measures framework. We present the conception of capital requirement for discrete-time process to measure the risk in the dynamic framework. In particular, four of axioms about dynamic risk measures have been proposed in the third section. We establish strong, middle and poor consistency properties to show our efforts in the mathematics description of the dynamic risk measure of discrete-time process.

Original language	English
Pages	815-819
Number of pages	5
DOIs	https://doi.org/10.1109/COGINF.2006.365595
State	Published - 2006
Event	5th IEEE International Conference on Cognitive Informatics, ICCI 2006 - Beijing, China Duration: 17 Jul 2006 → 19 Jul 2006

Conference

Conference	5th IEEE International Conference on Cognitive Informatics, ICCI 2006
Country/Territory	China
City	Beijing
Period	17/07/06 → 19/07/06

Keywords

Dynamic risk measure
General probability space
Risk measure

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10.1109/COGINF.2006.365595

Cite this

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AU - An, Shi

AU - Sun, Jian

AU - Wang, Yan

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AB - In this paper, we establish a class of dynamic risk measures for evaluating discrete-time process. Our research is mostly concentrated on the properties of dynamic risk measures. The properties of risk measures in the static framework, are introduced into the dynamic risk measures framework. We present the conception of capital requirement for discrete-time process to measure the risk in the dynamic framework. In particular, four of axioms about dynamic risk measures have been proposed in the third section. We establish strong, middle and poor consistency properties to show our efforts in the mathematics description of the dynamic risk measure of discrete-time process.

KW - Dynamic risk measure

KW - General probability space

KW - Risk measure

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U2 - 10.1109/COGINF.2006.365595

DO - 10.1109/COGINF.2006.365595

M3 - 论文

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EP - 819

T2 - 5th IEEE International Conference on Cognitive Informatics, ICCI 2006

Y2 - 17 July 2006 through 19 July 2006

ER -

Dynamic risk measures for discrete-time process

Abstract

Conference

Keywords

Access to Document

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