Dynamic capital allocation rules via BSDEs: an axiomatic approach
本文用公理化方法研究动态风险度量的资本配置问题，利用BSDE和g-期望，在弱于Gateaux可微的条件下提出新视角，适合金融数学和风险管理研究者参考。
Abstract In this paper, we study capital allocation for dynamic risk measures, 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 discuss new perspectives to the capital allocation problem going beyond those already existing in the literature. In particular, we introduce and investigate a general axiomatic approach to dynamic capital allocations as well as an approach suitable for risk measures induced by g -expectations under weaker assumptions than Gateaux differentiability.