Reference : Consistent Risk Measures and a non-linear Extension of Backwards Martingale Convergence.
Parts of books : Contribution to collective works
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/10993/26287
Consistent Risk Measures and a non-linear Extension of Backwards Martingale Convergence.
English
Föllmer, Hans [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit >]
Penner, Irina []
2015
Festschrift Masatoshi Fukushima
Z.-Q. Chen
N. Jacob
M. Takeda
World Scientific
Interdisciplinary Mathematical Sciences, Vol. 17
183-202
No
978-981-4596-52-7
[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.
http://hdl.handle.net/10993/26287

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