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arxiv: 0709.0232 · v1 · submitted 2007-09-03 · 💱 q-fin.RM · math.PR

Valuations and dynamic convex risk measures

classification 💱 q-fin.RM math.PR
keywords riskconvexdynamicfinitemeasurespropertiesacrossapproaches
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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.

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