Minimax Measures of Risk : Properties and Applications.

This paper adapts the methods of Minimax-Hedging developped in Bernis & Giraud [2000] to other models of financial markets, including discontinuous semi-martingale. The measure of the risk is defined as the value of a zero-sum game between the investor and a fictitious player, representing the market. In this paper, we prove that the zero-sum game has a value, and we provide some regularity properties of the dynamic measure of risk. We emphasized applications in insurance to price non-proportional treaties.