Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk

DOI10.1137/19M1283045zbMath1448.91258arXiv1909.04354OpenAlexW3045889163MaRDI QIDQ5123455

Katia Colaneri, Rüdiger Frey, Claudia Ceci, Verena Köck

Publication date: 28 September 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.04354

zbMATH Keywords

reinsurancecounterparty riskquadratic hedgingcredit value adjustment

Mathematics Subject Classification ID

Credit risk (91G40) Actuarial mathematics (91G05)

Related Items (1)

Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds

Uses Software

• QRM

Cites Work

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