Dynamic Risk Measures for Discrete-Time Process

摘要：

In this paper, we establish a class of dynamic risk measures for evaluating discrete-time process. Our research is mostly concentrated on the properties of dynamic risk measures. The properties of risk measures in the static framework, are introduced into the dynamic risk measures framework. We present the conception of capital requirement for discrete-time process to measure the risk in the dynamic framework. In particular, four of axioms about dynamic risk measures have been proposed in the third section. We establish strong, middle and poor consistency properties to show our efforts in the mathematics description of the dynamic risk measure of discrete-time process.

关键词： General probability space risk measure dynamic risk measure.

作者: Shi An Jian Sun Yan Wang

作者单位: Harbin Institute of Technology

会议类型: 国际会议

会议名称: Firth IEEE International Conference on Cognitive Informatics(第五届认知信息国际会议)

会议地点: 北京

会议语种:英文

页码: 815-819

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）