Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25025
Authors: 
Detlefsen, Kai
Scandolo, Giacomo
Year of Publication: 
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

Files in This Item:
File
Size
354.38 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.