Time-consistency of risk measures: how strong is such a property?


In the present work we study time-consistency for general dynamic risk measures where either only cash-invariance or both cash-invariance and convexity are dropped. This analysis is motivated by the recent papers of El Karoui... [ view full abstract ]


  1. Elisa Mastrogiacomo (Insubria)
  2. Emanuela Rosazza Gianin (University of Milano-Bicocca)

Topic Areas

Insurance , Risk Measures


TH-A-B1 » Risk Measures (11:30 - Thursday, 19th July, Beckett 1)

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