Dynamic risk measure for BSVIE with jumps and semimartingale issues |
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| Authors: | Nacira Agram |
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| Institution: | 1. Department of Mathematics, University of Oslo, Oslo, Norway;2. University of Biskra, Biskra, Algeria |
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| Abstract: | Risk measure is a fundamental concept in finance and in the insurance industry. It is used to adjust life insurance rates. In this article, 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. |
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| Keywords: | Brownian motion compensated Poisson random measure backward stochastic Volterra integral equation risk measure semimartingale |
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