In the Brownian case, the links between dynamic risk measures and BSDEs have been widely studied. In this paper, we consider the case with jumps. We first study the properties of BSDEs driven by a Brownian motion and a Poisson random measure. In particular, we provide a comparison theorem under...

Risk measures, or coherent measures of risk, are often considered on the space L∞, and important theorems on risk measures build on that space. Other risk measures, among them the most important risk measure–the Average Value-at-Risk–are well defined on the larger space L1 and this seems...

The operations of edge addition and deletion for hierarchical log-linear models are defined, and polynomial-time algorithms for the operations are given. Copyright The Author(s) 2012