112 citations · 112 across the 2 of their papers we have counts for
2 papers
math.PR2021
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…
math.PR2008★ 112 cited
Representation of the penalty term of dynamic concave utilities
Freddy Delbaen, Shige Peng, Emanuela Rosazza Gianin
In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectat…