Conditional and dynamic convex risk measures

Arbeitspapier

We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. As an example we consider the class of conditional entropic risk measures. A new regularity property of conditional risk measures is defined and discussed. Finally we introduce the concept of a dynamic convex risk measure as a family of successive conditional convex risk measures and characterize those satisfying some natural time consistency properties.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2005,006

Classification and Topics

• Classification: Wirtschaft ; Criteria for Decision-Making under Risk and Uncertainty
• Subject: Conditional convex risk measure ; robust representation ; regularity ; entropic risk measure ; dynamic convex risk measure ; time consistency ; Risiko ; Messung ; Zeitkonsistenz ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Detlefsen, Kai ; Scandolo, Giacomo
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/25025
• Last update: 10.03.2025, 11:41 AM CET