Conditional and dynamic convex risk measures

Kai Detlefsen and Giacomo Scandolo

No 2005-006, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. As an example we consider the class of conditional entropic risk measures. A new regularity property of conditional risk measures is defined and discussed. Finally we introduce the concept of a dynamic convex risk measure as a family of successive conditional convex risk measures and characterize those satisfying some natural time consistency properties.

Keywords: Conditional convex risk measure; robust representation; regularity; entropic risk measure; dynamic convex risk measure; time consistency (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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