2007/09/03 by Arnaud Jobert, Jobert, A., L. C. G. Rogers +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #91B02 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.0709.0232
openalex publication_date 2007/09/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time set and finite sample space, we find natural risk-transfer and time-consistency properties for a firm seeking to spread its risk across a group of subsidiaries.