Although most of the theory development concerning risk measures has concentrated on convex or even coherent risk … measures, nonconvex risk measures are used in practice, the prime example of course being Value-at-Risk. The purpose of this … paper is to investigate the relations between various notions of time consistency for nonconvex risk measures. We focus on …

Quite recently, a great interest has been devoted to time-consistency of risk measures in its different formulations … the papers address to coherent or convex risk measures satisfying cash-additivity. In the present work we study time …-consistency for more general dynamic risk measures where either only cash-invariance or both cash-invariance and convexity are dropped …