REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS (Q3191838): Difference between revisions
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Latest revision as of 09:26, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS |
scientific article |
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REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS (English)
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25 September 2014
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dynamic risk measure
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dynamic risk capital allocation
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backward stochastic differential equation
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gradient allocation
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Aumann-Shaley allocation
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dynamic entropic risk measure
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full allocation property
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