Valuations and dynamic convex risk measures

@inproceedings{Jobert2005ValuationsAD,
  title={Valuations and dynamic convex risk measures},
  author={A. Jobert and L. C. G. Rogers},
  year={2005}
}
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. 

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