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Autoren: 
Detlefsen, Kai
Scandolo, Giacomo
Datum: 
2005
Reihe/Nr.: 
SFB 649 discussion paper 2005,006
Zusammenfassung: 
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.
Schlagwörter: 
Conditional convex risk measure
robust representation
regularity
entropic risk measure
dynamic convex risk measure
time consistency
JEL: 
D81
Dokumentart: 
Working Paper
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