Dynamic capital allocation rules via BSDEs: an axiomatic approach

Abstract:  In this talk we introduce the notion capital allocation for dynamic risk measures, and treat them 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 outline new perspectives to the capital allocation problem going beyond those already existing in the literature. Some illustrative examples will be discussed.

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