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Valuations And Dynamic Convex Risk Measures

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  • A. Jobert
  • L. C. G. Rogers

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.

Suggested Citation

  • A. Jobert & L. C. G. Rogers, 2008. "Valuations And Dynamic Convex Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 1-22, January.
    • Handle: RePEc:bla:mathfi:v:18:y:2008:i:1:p:1-22
    DOI: 10.1111/j.1467-9965.2007.00320.x
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