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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, 2007. "Valuations and dynamic convex risk measures," Papers 0709.0232, arXiv.org.
  • Handle: RePEc:arx:papers:0709.0232
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