Decomposing Dynamic Risks into Risk Components
提出一种基于鞅表示定理的新分解方法，将公司面临的动态风险分解为不同来源的风险成分，并证明该方法满足所有理想性质，弥补了现有分解方法缺乏系统分析的空白。
The decomposition of dynamic risks a company faces into components associated with various sources of risk, such as financial risks, aggregate economic risks, or industry-specific risk drivers, is of significant relevance in view of risk management and product design, particularly in (life) insurance. Nevertheless, although several decomposition approaches have been proposed, no systematic analysis is available. This paper closes this gap in literature by introducing properties for meaningful risk decompositions and demonstrating that proposed approaches violate at least one of these properties. As an alternative, we propose a novel martingale representation theorem (MRT) decomposition that relies on martingale representation and show that it satisfies all of the properties. We discuss its calculation and present detailed examples illustrating its applicability. This paper was accepted by Baris Ata, stochastic models and simulation.