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arXiv · 2208.13336

On the Correspondence and the Risk Contribution for Conditional Coherent and Deviation Risk Measures

Guangyan Jia·Mengjin Zhao
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Abstract

We give an axiomatic framework for conditional generalized deviation measures. Under financially reasonable assumptions, we give the correspondence between conditional coherent risk measures and generalized deviation measures. Moreover, we establish the notion of continuous-time risk contribution for conditional coherent risk measures and generalized deviation measures. With the help of the correspondence between these two different types of risk measures, we give a microscopic interpretation of their risk contributions. Particularly, we show that the risk contributions of time-consistent risk measures are still time-consistent. We also demonstrate that the second element of the BSDE solution $(Y, Z)$ associated with $g$-expectation has the meaning of risk contribution.

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Guangyan Jia, Mengjin Zhao. 2022-08-29. On the Correspondence and the Risk Contribution for Conditional Coherent and Deviation Risk Measures. https://arxiv.org/abs/2208.13336

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