Dynamic Risk Measures

Beatrice Acciaio () and Irina Penner ()
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Beatrice Acciaio: University of Perugia, Department of Economy, Finance and Statistics
Irina Penner: Humboldt-Universität zu Berlin, Institut für Mathematik

Chapter Chapter 1 in Advanced Mathematical Methods for Finance, 2011, pp 1-34 from Springer

Abstract: 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: Dynamic convex risk measure; Robust representation; Penalty function; Time consistency; Entropic risk measure; 91B30; 91B16 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-18412-3_1

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DOI: 10.1007/978-3-642-18412-3_1

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