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Title:Conditional and dynamic convex risk measures PDF Logo
Authors:Detlefsen, Kai
Scandolo, Giacomo
Issue Date:2005
Series/Report no.:SFB 649 discussion paper 2005,006
Abstract: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.
Subjects:Conditional convex risk measure
robust representation
regularity
entropic risk measure
dynamic convex risk measure
time consistency
JEL:D81
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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