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. A suitable 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. As a reference example, illustrating all the proposed developments, we introduce a suitably defined dynamic version of the class of entropic risk measures. Copyright Springer-Verlag Berlin/Heidelberg 2005
Volume (Year): 9 (2005)
Issue (Month): 4 (October)
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