This paper gives an overview of the theory of dynamic convex risk measures for random
variables in discrete-time setting. We summarize robust representation results of conditional …

To address the plurality of interpretations of the subjective notion of risk, we describe it by
means of a risk order and concentrate on the context invariant features of diversification and …

In discrete time, every time-consistent dynamic monetary risk measure can be written as a
composition of one-step risk measures. We exploit this structure to give new dual …

We develop a theory of robust pricing and hedging of a weighted variance swap given
market prices for a finite number of co‐maturing put options. We assume the put option …

We introduce a framework for quantifying propagation of uncertainty arising in a dynamic
setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete …

This paper provides an introduction to the theory of capital requirements defined by convex
risk measures. The emphasis is on robust representations, law-invariant convex risk …

For some backward stochastic Volterra integral equations (BSVIEs) in multi-dimensional
Euclidean spaces, comparison theorems are established in a systematic way for the …

In this work we give a comprehensive overview of the time consistency property of dynamic
risk and performance measures, focusing on a the discrete time setup. The two key …

In this paper, we present a theoretical framework for studying coherent acceptability indices
(CAIs) in a dynamic setup. We study dynamic CAIs (DCAIs) and dynamic coherent risk …

This paper provides a unified framework, which allows, in particular, to study the structure of
dynamic monetary risk measures and dynamic acceptability indices. The main mathematical …