Dynamic risk measure for BSVIE with jumps and semimartingale issues
Nacira Agram
TL;DR
This paper develops a framework for dynamic risk measures using backward stochastic Volterra integral equations with jumps, addressing semimartingale challenges and establishing a comparison theorem.
Contribution
It introduces a comparison theorem for BSVIEs with jumps and discusses semimartingale issues, advancing the mathematical understanding of risk measures.
Findings
Established a comparison theorem for BSVIEs with jumps
Analyzed semimartingale properties of BSVIE solutions
Enhanced mathematical tools for dynamic risk assessment
Abstract
Risk measure is a fundamental concept in finance and in the insurance industry, it is used to adjust life insurance rates. In this current paper, we will study dynamic risk measures by means of backward stochastic Volterra integral equations (BSVIEs) with jumps. We prove a comparison theorem for such a type of equations. Since the solution of a BSVIEs is not a semimartingale in general, we will discuss some particular semimartingale issues.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.