3 citations · 3 across the 6 of their papers we have counts for
6 papers
SIG-BSDE for Dynamic Risk Measures
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
In this paper, we consider dynamic risk measures induced by backward stochastic differential equations (BSDEs). We discuss different examples that come up in the literature, includ…
Law-Invariant Return and Star-Shaped Risk Measures
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper presents novel characterization results for classes of law-invariant star-shaped functionals. We begin by establishing characterizations for positively homogeneous and s…
Dynamic Return and Star-Shaped Risk Measures via BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper establishes characterization results for dynamic return and star-shaped risk measures induced via backward stochastic differential equations (BSDEs). We first characteri…
Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
Emanuela Rosazza Gianin, Marco Zullino
In the context of risk measures, the capital allocation problem is widely studied in the literature where different approaches have been developed, also in connection with cooperat…
Quasi-Logconvex Measures of Risk
Roger J. A. Laeven, Emanuela Rosazza Gianin
This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Q…
Dynamic capital allocation rules via BSDEs: an axiomatic approach
Elisa Matrogiacomo, Emanuela Rosazza Gianin
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…