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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