Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2024-05-21 DOI:10.1080/15326349.2024.2353045

Tomasz R. Bielecki, Igor Cialenco, Hao Liu

引用次数: 0

Abstract

The aim of this work is to study risk measures generated by distortion functions in a dynamic discrete time setup and to investigate the corresponding dynamic coherent acceptability indices (DCAIs)...

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由扭曲函数生成的动态风险度量和动态绩效度量的时间一致性

这项工作的目的是研究在动态离散时间设置中由扭曲函数产生的风险度量，并研究相应的动态一致性可接受性指数（DCAIs）...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.