Consistent Risk Measures and a non-linear Extension of Backwards Martingale Convergence.

Reference : Consistent Risk Measures and a non-linear Extension of Backwards Martingale Convergence.


	Document type :	Parts of books : Contribution to collective works
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/10993/26287

Title :	Consistent Risk Measures and a non-linear Extension of Backwards Martingale Convergence.
Language :	English
Author, co-author :	Föllmer, Hans [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit >]
	Penner, Irina []
Publication date :	2015
Main document title :	Festschrift Masatoshi Fukushima
Editor :	Z.-Q. Chen
	N. Jacob
	M. Takeda
Publisher :	World Scientific
Collection and collection volume :	Interdisciplinary Mathematical Sciences, Vol. 17
Pages :	183-202
Peer reviewed :	No
ISBN :	978-981-4596-52-7
Abstract :	[en] We study the behavior of conditional risk measures along decreasing σ-fields. Under a condition of consistency, we prove a non-linear extension of backwards martingale convergence. In particular we show the existence of a limiting conditional risk measure with respect to the tail field, we describe its dual representation in terms of a limiting penalty function, and we show that consistency extends to the tail field. Moreover, we clarify the structure of global risk measures which are consistent with the given sequence of conditional risk measures.
Permalink :	http://hdl.handle.net/10993/26287

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