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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2005,006

Klassifikation und Themen

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

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Detlefsen, Kai ; Scandolo, Giacomo
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2005

Weitere Informationen

• Handle: http://hdl.handle.net/10419/25025
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ