Browsing by UP Author "Mabitsela, Lesedi"

Now showing items 1-3 of 3

An ergodic BSDE risk representation in a jump-diffusion framework

Guambe, Calisto; Mabitsela, Lesedi; Kufakunesu, Rodwell (World Scientific Publishing, 2021-05)

We consider the representation of forward entropic risk measures using the theory of ergodic backward stochastic differential equations in a jump-diffusion framework. Our paper can be viewed as an extension of the work ...
A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations

Mabitsela, Lesedi; Guambe, Calisto; Kufakunesu, Rodwell (Taylor and Francis, 2022)

We derive a representation for dynamic capital allocation when the underlying asset price process includes extreme random price movements. Moreover, we consider the representation of dynamic risk measures defined under ...
Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory

Guambe, Calisto; Kufakunesu, Rodwell; Mabitsela, Lesedi (American Institute of Mathematical Sciences, 2024)

Please read abstract in the article.

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