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Statistics & Risk Modeling

with Applications in Finance and Insurance

Editor-in-Chief: Stelzer, Robert

4 Issues per year

SCImago Journal Rank (SJR) 2015: 0.105

Mathematical Citation (MCQ) Quotient 2014: 0.14

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Time consistency of multi-period distortion measures

Vicky Fasen
  • 1 ETH Zürich, RiskLab, Zürich, Schweiz
/ Adela Svejda
Published Online: 2012-06-27 | DOI: https://doi.org/10.1524/strm.2012.1115


Dynamic risk measures play an important role for the acceptance or non-acceptance of risks in a bank portfolio. Dynamic consistency and weaker versions like conditional and sequential consistency guarantee that acceptability decisions remain consistent in time. An important set of static risk measures are so-called distortion measures. We extend these risk measures to a dynamic setting within the framework of the notions of consistency as above. As a prominent example, we present the Tail-Value-at-Risk (TVaR).

Keywords: Acceptability measure; Distortion measure; Tail-Value-at-Risk; Coherent risk measure; Risk management

* Correspondence address: University of Bonn, Institute for Applied Mathematics, Endenicher Allee 60, 53115 Bonn, Deutschland,

Published Online: 2012-06-27

Published in Print: 2012-06-01

Citation Information: Statistics & Risk Modeling with Applications in Finance and Insurance. Volume 29, Issue 2, Pages 133–153, ISSN (Print) 2193-1402, DOI: https://doi.org/10.1524/strm.2012.1115, June 2012

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