{"paper":{"title":"On representing and hedging claims for coherent risk measures","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Abdelkarem Berkaoui, Saul Jacka, Seb Armstrong","submitted_at":"2017-03-10T11:52:16Z","abstract_excerpt":"We provide a dual characterisation of the weak$^*$-closure of a finite sum of cones in $L^\\infty$ adapted to a discrete time filtration $\\mathcal{F}_t$: the $t^{th}$ cone in the sum contains bounded random variables that are $\\mathcal{F}_t$-measurable. Hence we obtain a generalisation of Delbaen's m-stability condition for the problem of reserving in a collection of num\\'eraires $\\mathbf{V}$, called $\\mathbf{V}$-m-stability, provided these cones arise from acceptance sets of a dynamic coherent measure of risk. We also prove that $\\mathbf{V}$-m-stability is equivalent to time-consistency when r"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1703.03638","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}