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Valuations and dynamic convex risk measures

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Author Info
A. Jobert
L. C. G. Rogers

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Abstract

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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File URL: http://arxiv.org/abs/0709.0232
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File URL: http://arxiv.org/pdf/0709.0232
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number 0709.0232.

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Date of creation: Sep 2007
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Handle: RePEc:arx:papers:0709.0232

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  1. Deprez, Olivier & Gerber, Hans U., 1985. "On convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 4(3), pages 179-189, July. [Downloadable!] (restricted)
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