2005-02-10Buch DOI: 10.18452/3872
Conditional and dynamic convex risk measures
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.
Files in this item
Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 6, SFB 649 Papers, ISSN:1860-5664
No license information