2 papers
q-fin.PM2018
A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
Lesedi Mabitsela, Calisto Guambe, Rodwell Kufakunesu
In this paper, we provide a representation theorem for dynamic capital allocation under It{ô}-L{é}vy model. We consider the representation of dynamic risk measures defined under Ba…
q-fin.PM2018
Risk-based optimal portfolio of an insurer with regime switching and noisy memory
Rodwell Kufakunesu, Calisto Guambe, Lesedi Mabitsela
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling,…