Membership conditions for consistent families of monetary valuations (Q2855515)
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scientific article; zbMATH DE number 6220107
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Membership conditions for consistent families of monetary valuations |
scientific article; zbMATH DE number 6220107 |
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Membership conditions for consistent families of monetary valuations (English)
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25 October 2013
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monetary valuation
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monetary risk measures
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monetary utility functions
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nonlinear pricing
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weak time consistency
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The paper deals with monetary risk measures (or monetary utility functions). In particular, time consistency of of such monetary valuations is investigated. The authors show that under proper sensitivity assumptions, the consistent families of monetary valuations are determined uniquely by the choice of the initial valuation. Moreover, the consistency can be interpreted in a rather weak sense. The unique update rule is specified explicitly, the existence of consistent updates for a given initial monetary valuation is characterized, and some applications are mentioned.
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