Browsing 01 Mathematical Sciences by Author "Filar Jerzy"

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Browsing 01 Mathematical Sciences by Author "Filar Jerzy"

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  • Time consistent dynamic risk measures 
    Kang Boda; Filar Jerzy (Springer, 2006)
    We introduce the time-consistency concept that is inspired by the so-called ¿principle of optimality¿ of dynamic programming and demonstrate ¿ via an example ¿ that the conditional value-at-risk (CVaR) need not be ...
  • Two Types of Risk 
    Filar Jerzy; Kang Boda (Springer, 2006)
    The risk encountered in many environmental problems appears to exhibit special ¿two-sided¿ characteristics. For instance, in a given area and in a given period, farmers do not want to see too much or too little rainfall. ...