Dynamic hedging of conditional value-at-risk
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Compare, M. & Martini, F. & Zio, E., 2015. "Genetic algorithms for condition-based maintenance optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 244(2), pages 611-623.
- Feng, Runhuan & Shimizu, Yasutaka, 2016. "Applications of central limit theorems for equity-linked insurance," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 138-148.
- Barski Michał, 2016. "On the shortfall risk control: A refinement of the quantile hedging method," Statistics & Risk Modeling, De Gruyter, vol. 32(2), pages 125-141, March.
- Capiński, Maciej J., 2015. "Hedging Conditional Value at Risk with options," European Journal of Operational Research, Elsevier, vol. 242(2), pages 688-691.
More about this item
KeywordsIB10; IM01; IM10; IM53; Conditional value-at-risk; Dynamic hedging; Stochastic modeling; Quantile hedging; Unit-linked contracts;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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