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• W2887388636 abstract "In this paper, we provide a representation theorem for dynamic capital allocation under It{o}-L{e}vy model. We consider the representation of dynamic risk measures defined under Backward Stochastic Differential Equations (BSDE) with generators that grow quadratic-exponentially in the control variables. Dynamic capital allocation is derived from the differentiability of BSDEs with jumps. The results are illustrated by deriving a capital allocation representation for dynamic entropic risk measure and static coherent risk measure." @default.
• W2887388636 created "2018-08-22" @default.
• W2887388636 creator A5007155137 @default.
• W2887388636 creator A5017900147 @default.
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• W2887388636 date "2018-08-14" @default.
• W2887388636 modified "2023-09-27" @default.
• W2887388636 title "A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations" @default.
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• W2887388636 hasPublicationYear "2018" @default.
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