On the economic risk capital of portfolio insurance

DOI10.1155/S0161171204210146zbMATH Open1155.91385OpenAlexW2074480911MaRDI QIDQ1777685

Werner Hürlimann

Publication date: 25 May 2005

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/55116

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Exact distribution theory in statistics (62E15)

Related Items (4)

[[Publication:5490009|Title not available (Why is that?)]] ⋮ Theoretical foundations of constant-proportion portfolio insurance ⋮ Portfolio insurance: A simulation under different market conditions ⋮ Portfolio insurance under a risk-measure constraint

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