英文标题：
《Time-consistency of cash-subadditive risk measures》
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作者：
Elisa Mastrogiacomo and Emanuela Rosazza Gianin
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最新提交年份：
2015
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英文摘要：
The main goal of this paper is to investigate under which conditions cash-subadditive convex dynamic risk measures are time-consistent. Proceeding as in Detlefsen and Scandolo \\cite{detlef-scandolo} and inspired by their result, we give a dual representation of dynamic cash-subadditive convex risk measures (that can also be seen as particular case of the dual quasiconvex representation). The main result of the paper consists in providing, in the cash-subadditive case, a sufficient condition for strong time-consistency (or recursivity) in terms of a generalized cocycle condition. On one hand, our result can be seen as an extension to cash-subadditive convex dynamic risk measures of Theorem 2.5 in Bion-Nadal \\cite{bion-nadal-FS}; on the other hand, it is weaker since strong time-consistency is not fully characterized. Finally, we exploit the relation between different notions of time-consistency.
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中文摘要：
本文的主要目的是研究现金次加凸动态风险度量在什么条件下是时间一致的。在Detlefsen和Scandolo中，受其结果的启发，我们给出了动态现金次加凸风险测度的对偶表示（也可以看作对偶拟凸表示的特例）。本文的主要结果在于，在现金次可加的情况下，根据广义共循环条件，给出了强时间一致性（或递归性）的一个充分条件。一方面，我们的结果可以看作是Bion Nadal\\cite{Bion Nadal FS}中定理2.5的现金次加凸动态风险度量的推广；另一方面，它是较弱的，因为强时间一致性没有得到充分表征。最后，我们利用时间一致性的不同概念之间的关系。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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