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1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

Abstract : Introduced by Artzner, Delbaen, Eber and Heath 1998 the axiomatic characterization of a static coherent risk measure was extended by Jouini, Meddeb and Touzi 2004 in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures in a continuous-time framework. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results and examples of vector valued risk measure processes.





Author: Imen Ben Tahar - Emmanuel Lépinette -

Source: https://hal.archives-ouvertes.fr/



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