Time consistency conditions for acceptability measures, with an application to tail value at risk

DOI10.1016/j.insmatheco.2006.04.003zbMath1141.91547OpenAlexW2098799539MaRDI QIDQ995498

Berend Roorda, Johannes M. Schumacher

Publication date: 3 September 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://research.utwente.nl/en/publications/time-consistency-conditions-for-acceptability-measures-with-an-application-to-tail-value-at-risk(aff0008a-2492-4ad2-b2fc-f3f0fa81640c).html

zbMATH Keywords

incomplete marketscoherent risk measuresnonlinear expectationstime consistencycapital requirementsacceptability measures

Mathematics Subject Classification ID

Related Items (29)

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