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| dc.contributor.author | Mabitsela, Lesedi
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| dc.contributor.author | Guambe, Calisto
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| dc.contributor.author | Kufakunesu, Rodwell
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| dc.date.accessioned | 2020-09-23T07:12:46Z | |
| dc.date.issued | 2022 | |
| dc.description.abstract | 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 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. | en_ZA |
| dc.description.department | Mathematics and Applied Mathematics | en_ZA |
| dc.description.embargo | 2021-05-23 | |
| dc.description.librarian | hj2020 | en_ZA |
| dc.description.uri | http://www.tandfonline.com/loi/lsta20 | en_ZA |
| dc.identifier.citation | Lesedi Mabitsela, Calisto Guambe & Rodwell Kufakunesu (2022) A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations, Communications in Statistics - Theory and Methods, 51:6, 1791-1810, DOI: 10.1080/03610926.2020.1768405. | en_ZA |
| dc.identifier.issn | 0361-0926 (print) | |
| dc.identifier.issn | 1532-415X (online) | |
| dc.identifier.other | 10.1080/03610926.2020.1768405 | |
| dc.identifier.uri | http://hdl.handle.net/2263/76205 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Taylor and Francis | en_ZA |
| dc.rights | © 2020 Taylor & Francis Group, LLC. This is an electronic version of an article published in Communications in Statistics Theory and Methods , vol. 51, no. 6, pp. 1791-1810, 2022. doi : 10.1080/03610926.2020.1768405. Communications in Statistics Theory and Methods is available online at : http://www.tandfonline.comloi/lsta20. | en_ZA |
| dc.subject | Backward stochastic differential equations (BSDE) | en_ZA |
| dc.subject | Dynamic risk capital allocation | en_ZA |
| dc.subject | Dynamic risk measure | en_ZA |
| dc.subject | Quadratic-exponential BSDE | en_ZA |
| dc.subject | Dynamic entropic risk measure | en_ZA |
| dc.title | A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations | en_ZA |
| dc.type | Postprint Article | en_ZA |
