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Update rules for convex risk measures

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Tutsch, Sina

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Abstract In the first part of the paper we investigate properties that describe the intertemporal structure of dynamic convex risk measures. The usual backward approach to dynamic risk assessment leads to strong and weak versions of time consistency. As an alternative, we introduce a forward approach of consecutivity. In the second part we discuss the problem of how to update a convex risk measure when new information arrives. We analyse to what extent the above properties are appropriate update criteria.
Classification Financial Planning, Accountancy; Economic Statistics, Econometrics, Business Informatics
Method theory application
Free Keywords Dynamic convex risk measures; Time consistency; Consecutivity; Robust shortfall risk measure; Updating
Document language English
Publication Year 2008
Page/Pages p. 833-843
Journal Quantitative Finance, 8 (2008) 8
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)