Differentiability of BSVIEs and dynamic capital allocations (Q4595300)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6813769
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Differentiability of BSVIEs and dynamic capital allocations |
scientific article; zbMATH DE number 6813769 |
Statements
DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS (English)
0 references
29 November 2017
0 references
dynamic risk capital allocation
0 references
dynamic risk measure
0 references
backward stochastic Volterra integral equation
0 references
backward stochastic differential equation
0 references
gradient allocation
0 references
Aumann-Shapley allocation
0 references
0 references
0 references
0.8220398426055908
0 references
0.8057377934455872
0 references
0.804885745048523
0 references
0.7494972348213196
0 references
0.7401823997497559
0 references
