Convergence of Composition of Markov Risk Measures
نویسنده
چکیده
Our goal in this paper is to show how one could compose some measures of risks, and more precisely Markovian measures of risk, over a Markov chain. We mainly show the convergence of the composition to a limit independent of the starting point, under ergodicity condition of the Markov chain, and risk averse behaviour of the measure.
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