CVaR Hedging in Defaultable Jump-Diffusion Markets

DOI10.1007/978-3-030-76829-4_17zbMath1479.91409OpenAlexW3197214647MaRDI QIDQ5014531

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Publication date: 8 December 2021

Published in: Operator Theory and Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-76829-4_17

zbMATH Keywords

defaultjump-diffusion modelpartial hedgingconditional value-at-riskequity-linked life insurance contracts

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Cites Work

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• Efficient hedging: cost versus shortfall risk
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Quantile hedging
• Dynamic hedging of conditional value-at-risk
• Partial hedging for defaultable claims
• EFFICIENT HEDGING FOR DEFAULTABLE SECURITIES AND ITS APPLICATION TO EQUITY-LINKED LIFE INSURANCE CONTRACTS
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Quantile hedging and its application to life insurance
• Option pricing when underlying stock returns are discontinuous
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model

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