VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

A. Jobert and L. C. G. Rogers

Mathematical Finance, 2008, vol. 18, issue 1, 1-22

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: 2008
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https://doi.org/10.1111/j.1467-9965.2007.00320.x

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Working Paper: Valuations and dynamic convex risk measures (2007)
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