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.
Acknowledgments
We would like to thank Prof. Yong for pointing out the reference [Citation21] which helped us to improve the article. We also want to thank Prof. Rosazza Gianin for helpful comments. Part of this work has been done while the author is visiting the University of Alberta, Canada and I would like to thank Prof. Hu for the hospitality and his comments during my talk.
Disclosure statement
No potential conflict of interest was reported by the authors.