Valuations and dynamic convex risk measures

A. Jobert and Leonard C G Rogers

Quantitative Finance Papers from arXiv.org

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.

Date: 2007-09
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Related works:
Journal Article: VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:0709.0232

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