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Time consistency conditions for acceptability measures, with an application to Tail Value at Risk

  • Roorda, Berend
  • Schumacher, J.M.

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File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(06)00069-2
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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 40 (2007)
Issue (Month): 2 (March)
Pages: 209-230

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Handle: RePEc:eee:insuma:v:40:y:2007:i:2:p:209-230
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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  1. Grant, Simon & Eichberger, Jürgen & Kelsey, David, 2004. "CEU preferences and dynamic consistency," Papers 04-47, Sonderforschungsbreich 504.
  2. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
  3. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
  4. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
  5. Frank Riedel, 2003. "Dynamic Coherent Risk Measures," Working Papers 03004, Stanford University, Department of Economics.
  6. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
  7. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
  8. Wang, Tan, 2003. "Conditional preferences and updating," Journal of Economic Theory, Elsevier, vol. 108(2), pages 286-321, February.
  9. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612.
  10. Jeremy Staum, 2004. "Fundamental Theorems of Asset Pricing for Good Deal Bounds," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 141-161.
  11. Stefan Jaschke & Uwe Küchler, 2001. "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, vol. 5(2), pages 181-200.
  12. Landsman, Zinoviy & Sherris, Michael, 2001. "Risk measures and insurance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 103-115, August.
  13. Stefan Weber, 2006. "Distribution-Invariant Risk Measures, Information, And Dynamic Consistency," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 419-441.
  14. George Wu, 1999. "Anxiety and Decision Making with Delayed Resolution of Uncertainty," Theory and Decision, Springer, vol. 46(2), pages 159-199, April.
  15. Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005. "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612.
  16. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  17. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
  18. Tsanakas, Andreas, 2004. "Dynamic capital allocation with distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 223-243, October.
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