Strongly consistent multivariate conditional risk measures |
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Authors: | Hannes Hoffmann Thilo Meyer-Brandis Gregor Svindland |
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Affiliation: | 1.Department of Mathematics,University of Munich,Munich,Germany |
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Abstract: | We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional aggregation function and a univariate conditional risk measure as introduced Hoffmann et al. (Stoch Process Appl 126(7):2014–2037, 2016). Further, in analogy to the univariate case in Föllmer (Stat Risk Model 31(1):79–103, 2014), we prove that under law-invariance strong consistency implies that multivariate conditional risk measures are necessarily multivariate conditional certainty equivalents. |
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