- AutorIn
- Ruben Schlotter Technische Universität Chemnitz
- Titel
- Contributions to the theory of dynamic risk measures
- Zitierfähige Url:
- https://nbn-resolving.org/urn:nbn:de:bsz:ch1-qucosa2-748461
- Datum der Einreichung
- 02.02.2021
- Datum der Verteidigung
- 03.05.2021
- Abstract (EN)
- This thesis aims to fill this gap between static and dynamic risk measures. It presents a theory of dynamic risk measures based directly on classical, static risk measures. This allows for a direct connection of the static, the discrete time as well as the continuous time setting. Unlike the existing literature this approach leads to a interpretable pendant to the well-understood static risk measures. As a key concept the notion of divisible families of risk measures is introduced. These families of risk measures admit a dynamic version in continuous time. Moreover, divisibility allows the definition of the risk generator, a nonlinear extension of the classical infinitesimal generator. Based on this extension we derive a nonlinear version of Dynkins lemma as well as risk-averse Hamilton–Jacobi–Bellman equations.
- Freie Schlagwörter (EN)
- risk-aversion, dynamic risk measures, continuous time, Black-Scholes
- Klassifikation (DDC)
- 510
- Normschlagwörter (GND)
- Stochastik, Dynamische Optimierung
- GutachterIn
- Prof. Alexander Shapiro
- Prof. Dr. Fred Espen Benth
- BetreuerIn Hochschule / Universität
- Prof. Alois Pichler
- Den akademischen Grad verleihende / prüfende Institution
- Technische Universität Chemnitz, Chemnitz
- Förder- / Projektangaben
- Version / Begutachtungsstatus
- publizierte Version / Verlagsversion
- URN Qucosa
- urn:nbn:de:bsz:ch1-qucosa2-748461
- Veröffentlichungsdatum Qucosa
- 27.05.2021
- Dokumenttyp
- Dissertation
- Sprache des Dokumentes
- Englisch
- Lizenz / Rechtehinweis
- CC BY 4.0