The Fundamental Theorem of Asset Pricing states - roughly speaking - that the absence of arbitrage possibilities for a stochastic process S is equivalent to the existence of an equivalent martingale measure for S. It turns out that it is quite hard to give precise and sharp versions of this...

We study dynamic monetary risk measures thatdepend on bounded discrete-time processesdescribing the evolution of financial values. The time horizoncan be finite or infinite. We call a dynamic risk measuretime-consistent if it assigns to a process of financialvalues the same risk irrespective of...

We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the...