  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.
