A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations

dc.contributor.authorMabitsela, Lesedi
dc.contributor.authorGuambe, Calisto
dc.contributor.authorKufakunesu, Rodwell
dc.contributor.emailrodwell.kufakunesu@up.ac.zaen_ZA
dc.date.accessioned2020-09-23T07:12:46Z
dc.date.issued2022
dc.description.abstractWe 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.departmentMathematics and Applied Mathematicsen_ZA
dc.description.embargo2021-05-23
dc.description.librarianhj2020en_ZA
dc.description.urihttp://www.tandfonline.com/loi/lsta20en_ZA
dc.identifier.citationLesedi 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.issn0361-0926 (print)
dc.identifier.issn1532-415X (online)
dc.identifier.other10.1080/03610926.2020.1768405
dc.identifier.urihttp://hdl.handle.net/2263/76205
dc.language.isoenen_ZA
dc.publisherTaylor and Francisen_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.subjectBackward stochastic differential equations (BSDE)en_ZA
dc.subjectDynamic risk capital allocationen_ZA
dc.subjectDynamic risk measureen_ZA
dc.subjectQuadratic-exponential BSDEen_ZA
dc.subjectDynamic entropic risk measureen_ZA
dc.titleA note on representation of BSDE-based dynamic risk measures and dynamic capital allocationsen_ZA
dc.typePostprint Articleen_ZA

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