In this paper we propose a generalization of the concepts of convex and coherent risk measures to a multi-period setting, in which payoffs are spread over different dates. To this end, a careful examination of the axiom of translation invariance and the related concept of capital requirement in the one-period model is performed. These two issues are then suitably extended to the multi-period case, in a way that makes their operative financial meaning clear. A characterization in terms of expected values is derived for this class of risk measures and some examples are presented.
|Titolo:||Risk measures and capital requirements for processes|
|Autori interni:||FRITTELLI, MARCO (Primo)|
|Parole Chiave:||Risk measures ; Capital requirements ; Risk measures for processes ; Multi periods risk measures ; Dynamic risk measures|
|Settore Scientifico Disciplinare:||Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie|
|Data di pubblicazione:||2006|
|Digital Object Identifier (DOI):||10.1111/j.1467-9965.2006.00285.x|
|Appare nelle tipologie:||01 - Articolo su periodico|