Dynamic capital allocation rules via BSDEs: an axiomatic approach

Abstract In this paper, we study capital allocation for dynamic risk measures, with an axiomatic approach but also by exploiting the relation between measures and BSDEs. Although there is a wide literature on rules in static setting only few recent papers work and, moreover, those mainly focus gradient approach. To fill gap, then discuss new perspectives to problem going beyond already existing literature. particular, introduce investigate general allocations as well suitable induced g -expectations under weaker assumptions than Gateaux differentiability.