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Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk - MaRDI portal

Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk (Q5123455)

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scientific article; zbMATH DE number 7252362
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English
Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk
scientific article; zbMATH DE number 7252362

    Statements

    title
    Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk (English)
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    author
    Claudia Ceci
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    Katia Colaneri
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    Rüdiger Frey
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    Verena Köck
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    publication date
    28 September 2020
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    zbMATH Keywords
    reinsurance
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    counterparty risk
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    credit value adjustment
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    quadratic hedging
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    Identifiers

    DOI
    10.1137/19M1283045
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    zbMATH DE Number
    7252362
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    arXiv ID
    1909.04354
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    OpenAlex ID
    W3045889163
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