Membership conditions for consistent families of monetary valuations

DOI10.1524/strm.2013.1131zbMath1277.91096OpenAlexW2023679129MaRDI QIDQ2855515

Berend Roorda, Johannes M. Schumacher

Publication date: 25 October 2013

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/strm.2013.1131

zbMATH Keywords

nonlinear pricingweak time consistencymonetary utility functionsmonetary risk measuresmonetary valuation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Decision theory (91B06) Actuarial science and mathematical finance (91G99)

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