Dynamic risk measure for BSVIE with jumps and semimartingale issues
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🧮 math.OC
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risksemimartingalebsviesdynamicequationsinsuranceissuesjumps
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Risk measure is a fundamental concept in finance and in the insurance industry, it is used to adjust life insurance rates. In this current paper, 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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