Dynamic star-shaped risk measures and $g$-expectations

Abstract

Motivated by the results of static monetary or star-shaped risk measures, the paper investigates the representation theorems in the dynamic framework. We show that dynamic monetary risk measures can be represented as the lower envelope of a family of dynamic convex risk measures, and normalized dynamic star-shaped risk measures can be represented as the lower envelope of a family of normalized dynamic convex risk measures. The link between dynamic monetary risk measures and dynamic star-shaped risk measures are established. Besides, the sensitivity and time consistency problems are also studied. A specific normalized time consistent dynamic star-shaped risk measures induced by $g$-expectations are illustrated and discussed in detail.

21 pages