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Additional info for Advanced Mathematical Methods for Finance
27) 2. For all t ∈ T such that t < T and all X ∈ At , we have −ρt+1 (X) ∈ At . 27) implies rejection consistency, and obviously rejection consistency implies condition (2). If (2) holds, then for any X ∈ L∞ , ρt ρt (X) − ρt+1 (X) = ρt −ρt+1 X + ρt (X) ≤ 0, due to cash invariance and the fact that X + ρt (X) ∈ At . 27) was introduced in  under the name prudence. It means that the adjustment ρt+1 (X) − ρt (X) of the minimal capital requirement for X at time t + 1 is acceptable at time t. In other words, one stays on the safe side at each period of time by making capital reserves according to a rejection consistent dynamic risk measure.
We define the random variable X := −xIA for some x > 0. Then ρt −ρt+1 (X) = = γt 1 log E exp log E exp(γt+1 xIA ) Ft+1 γt γt+1 Ft γt 1 log E exp IB log E exp(γt+1 xIA ) Ft+1 γt γt+1 Ft , where we have used that A ⊂ B. Setting Y := E exp(γt+1 xIA ) Ft+1 = exp(γt+1 x)P [A|Ft+1 ] + P Ac Ft+1 and bringing γt γt+1 inside of the logarithm, we obtain ρt −ρt+1 (X) = γt 1 IB log E exp IB log Y γt+1 γt Ft . s. 38) with strict inequality on the set C := P [A|Ft+1 ] > 0 ∩ P [A|Ft+1 ] < 1 ∩ B. 40) with the strict inequality on some set of positive probability due to strict monotonicity of the exponential and logarithmic functions.
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