  Horizon risk (see arXiv:2301.04971) is studied in the context of cash
non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we
introduce a risk measure based on generalized Tsallis entropy which can
dynamically evaluate the riskiness of losses considering both horizon risk and
interest rate uncertainty. The new q-entropic risk measure on losses can be
used as a quantification of capital requirement.
