Dynamic risk measures
Risk Management
2010-02-22 v1 Probability
Abstract
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time consistency properties of dynamic risk measures in terms of acceptance sets, penalty functions, and by supermartingale properties of risk processes and penalty functions.
Keywords
Cite
@article{arxiv.1002.3794,
title = {Dynamic risk measures},
author = {Beatrice Acciaio and Irina Penner},
journal= {arXiv preprint arXiv:1002.3794},
year = {2010}
}
Comments
30 pages