KROMER, EDUARD; OVERBECK, LUDGER - In: International Journal of Theoretical and Applied … 17 (2014) 05, pp. 1450032-1
In this paper, we provide a new representation result for dynamic capital allocations and dynamic convex risk measures that are based on backward stochastic differential equations (BSDEs). We derive this representation from a classical differentiability result for BSDEs and the full allocation...