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• W3124365090 abstract "In this paper, we provide a new representation result for dynamic capital allocations and dynamic convex risk measures that are based on backward stochastic differential equations (BSDEs). We derive this representation from a classical differentiability result for BSDEs and the full allocation property of the Aumann–Shapley allocation. The representation covers BSDE-based dynamic convex and dynamic coherent risk measures. The results are applied to derive a representation for the dynamic entropic risk measure. Our results are also applicable in a specific way to the static case, where we are able to derive a new representation result for static convex risk measures that are Gâteaux-differentiable." @default.
• W3124365090 created "2021-02-01" @default.
• W3124365090 creator A5068086434 @default.
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• W3124365090 date "2014-07-28" @default.
• W3124365090 modified "2023-09-29" @default.
• W3124365090 title "REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS" @default.
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• W3124365090 doi "https://doi.org/10.1142/s0219024914500320" @default.
• W3124365090 hasPublicationYear "2014" @default.
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