Valuations and dynamic convex risk measures

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dc.creatorJobert, A.
dc.creatorRogers, L. C. G.
dc.date2007-09-03
dc.date.accessioned2026-07-07T12:05:23Z
dc.date.available2026-07-07T12:05:23Z
dc.descriptionThis 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.
dc.description26 pages
dc.identifierhttps://arxiv.org/abs/0709.0232
dc.identifierhttp://arxiv.org/abs/0709.0232
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208364
dc.subjectRisk Management
dc.subjectProbability
dc.subject91B02
dc.titleValuations and dynamic convex risk measures
dc.typetext

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