Valuations and dynamic convex risk measures

Details Valuations and dynamic convex risk measures Valuations and dynamic convex risk measures

2007-09-03

arxiv.org/abs/0709.0232v1

Economy

Quantitative Finance

Risk Management

26 pages

Scientific paper

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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