VAR-BASED OPTIMAL PARTIAL HEDGING

DOI10.1017/asb.2013.19zbMath1281.91142OpenAlexW3123662322MaRDI QIDQ5398352

Chengguo Weng, Ken Seng Tan, Jianfa Cong

Publication date: 27 February 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2013.19

zbMATH Keywords

optimal strategyvalue-at-riskquantile hedgingpartial hedgingbull call spreadknock-out call

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

Quantile hedging pension payoffs: an analysis of investment incentives ⋮ Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies ⋮ Price Index Insurances in the Agriculture Markets ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models

Cites Work

• Optimality of general reinsurance contracts under CTE risk measure
• Quantile hedging for guaranteed minimum death benefits
• Optimal reinsurance under VaR and CTE risk measures
• The concept of comonotonicity in actuarial science and finance: theory.
• Maximizing the probability of a perfect hedge
• Efficient hedging: cost versus shortfall risk
• Efficient hedging with coherent risk measure
• Quantile hedging
• Quantile hedging for equity-linked contracts
• Optimal reinsurance with general premium principles
• Dynamic hedging of conditional value-at-risk
• Quantile hedging and its application to life insurance
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• Convex Hedging in Incomplete Markets

This page was built for publication: VAR-BASED OPTIMAL PARTIAL HEDGING