Quadratic hedging: an actuarial view extended to solvency control
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Publication:362036
DOI10.1007/s13385-013-0066-8zbMath1277.91174OpenAlexW1990536896MaRDI QIDQ362036
Publication date: 20 August 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-013-0066-8
orthogonal projectionmean-variance hedgingcatastrophe bondsconstrained portfolio valuerisk minimisationsolvency control
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Related Items (3)
Extended reduced-form framework for non-life insurance ⋮ Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind
Cites Work
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- A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES
- Arbitrage Theory in Continuous Time
- From actuarial to financial valuation principles
- Risk-minimizing hedging strategies for insurance payment processes
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