Dynamic hedging of conditional value-at-risk (Q2444719): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.insmatheco.2012.03.011
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+W2069170620
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Generalized Neyman-Pearson lemma via convex duality.
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+Maximizing the probability of a perfect hedge
@@ Property / cites work: Maximizing the probability of a perfect hedge / rank @@
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+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
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+Efficient hedging: cost versus shortfall risk
@@ Property / cites work: Efficient hedging: cost versus shortfall risk / rank @@
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+Decision principles derived from risk measures
@@ Property / cites work: Decision principles derived from risk measures / rank @@
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+An optimization approach to the dynamic allocation of economic capital
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+Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
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+VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
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+Portfolio Risk Management with CVaR-Like Constraints
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