Cover Image

Valuations and dynamic convex risk measures

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.
Year of publication:
2007-09
Authors: Jobert, A. ; Rogers, L. C. G.
Institutions: arXiv.org
freely available
Full text |
Check Google Scholar
In German libraries (KVK)
I need help
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10005098728
Similar items by person