Quite recently, a great interest has been devoted to time-consistency of risk measures in its different formulations (see Delbaen in Memoriam Paul-André Meyer, Lecture notes in mathematics, vol 1874, pp 215–258, 2006; Föllmer and Penner in Stat Decis 14(1):1–15, 2006; Bion-Nadal in Stoch Process Appl 119:633–654, 2009; Delbaen et al. in Finance Stoch 14(3):449–472, 2010; Laeven and Stadje in Math Oper Res 39:1109–1141, 2014, among many others). However, almost all the papers address to coherent or convex risk measures satisfying cash-additivity. In the present work, we study time-consistency for more 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 and Ravanelli (Math Finance 19:561–590, 2009) and Cerreia-Vioglio et al. (Math Finance 21(4):743–774, 2011) who discussed and weakened the axioms above by introducing cash-subadditivity and quasi-convexity. In particular, we investigate and discuss whether the notion of time-consistency is too restrictive, when considered in the general framework of quasi-convex and cash-subadditive risk measures. Finally, we provide some conditions guaranteeing time-consistency in this more general framework.

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

Mastrogiacomo, Elisa;
2019-01-01

Abstract

Quite recently, a great interest has been devoted to time-consistency of risk measures in its different formulations (see Delbaen in Memoriam Paul-André Meyer, Lecture notes in mathematics, vol 1874, pp 215–258, 2006; Föllmer and Penner in Stat Decis 14(1):1–15, 2006; Bion-Nadal in Stoch Process Appl 119:633–654, 2009; Delbaen et al. in Finance Stoch 14(3):449–472, 2010; Laeven and Stadje in Math Oper Res 39:1109–1141, 2014, among many others). However, almost all the papers address to coherent or convex risk measures satisfying cash-additivity. In the present work, we study time-consistency for more 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 and Ravanelli (Math Finance 19:561–590, 2009) and Cerreia-Vioglio et al. (Math Finance 21(4):743–774, 2011) who discussed and weakened the axioms above by introducing cash-subadditivity and quasi-convexity. In particular, we investigate and discuss whether the notion of time-consistency is too restrictive, when considered in the general framework of quasi-convex and cash-subadditive risk measures. Finally, we provide some conditions guaranteeing time-consistency in this more general framework.
2019
http://springerlink.metapress.com/app/home/journal.asp?wasp=e0ggqgqvlk6e7r03eua0&referrer=parent&backto=linkingpublicationresults,1:100169,1
Cash-subadditive risk measures; Cocycle property; Dynamic risk measures; m-stability; Quasi-convex risk measures; Time-consistency; Finance; Economics, Econometrics and Finance (all)2001 Economics, Econometrics and Finance (miscellaneous)
Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11383/2077511
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