Valuations and dynamic convex risk measures
Risk Management
2008-12-02 v1 Probability
Abstract
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time set and finite sample space, we find natural risk-transfer and time-consistency properties for a firm seeking to spread its risk across a group of subsidiaries.
Cite
@article{arxiv.0709.0232,
title = {Valuations and dynamic convex risk measures},
author = {A. Jobert and L. C. G. Rogers},
journal= {arXiv preprint arXiv:0709.0232},
year = {2008}
}
Comments
26 pages