In this paper, we study capital allocation for dynamic risk measures, with an axiomatic approach but also by exploiting the relation between risk measures and BSDEs. Although there is a wide literature on capital allocation rules in a static setting and on dynamic risk measures, only a few recent papers on capital allocation work in a dynamic setting and, moreover, those papers mainly focus on the gradient approach. To fill this gap, we then discuss new perspectives to the capital allocation problem going beyond those already existing in the literature. In particular, we introduce and investigate a general axiomatic approach to dynamic capital allocations as well as an approach suitable for risk measures induced by g-expectations under weaker assumptions than Gateaux differentiability.

Mastrogiacomo, E., Rosazza Gianin, E. (2022). Dynamic capital allocation rules via BSDEs: an axiomatic approach. ANNALS OF OPERATIONS RESEARCH [10.1007/s10479-022-04917-8].

Dynamic capital allocation rules via BSDEs: an axiomatic approach

Rosazza Gianin E.
2022

Abstract

In this paper, we study capital allocation for dynamic risk measures, with an axiomatic approach but also by exploiting the relation between risk measures and BSDEs. Although there is a wide literature on capital allocation rules in a static setting and on dynamic risk measures, only a few recent papers on capital allocation work in a dynamic setting and, moreover, those papers mainly focus on the gradient approach. To fill this gap, we then discuss new perspectives to the capital allocation problem going beyond those already existing in the literature. In particular, we introduce and investigate a general axiomatic approach to dynamic capital allocations as well as an approach suitable for risk measures induced by g-expectations under weaker assumptions than Gateaux differentiability.
Articolo in rivista - Articolo scientifico
BSDE; Capital allocation; g-expectation; Gradient; Risk measures; Subdifferential;
English
28-ago-2022
2022
open
Mastrogiacomo, E., Rosazza Gianin, E. (2022). Dynamic capital allocation rules via BSDEs: an axiomatic approach. ANNALS OF OPERATIONS RESEARCH [10.1007/s10479-022-04917-8].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/455998
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