{"title":"Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions","authors":"Tomasz R. Bielecki, Igor Cialenco, Hao Liu","doi":"10.1080/15326349.2024.2353045","DOIUrl":null,"url":null,"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)...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":"30 1","pages":""},"PeriodicalIF":0.5000,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stochastic Models","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/15326349.2024.2353045","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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)...
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.
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