LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK (Q4562946): Difference between revisions

@@ Property / cites work @@
+Cross-hedging minimum return guarantees: basis and liquidity risks
+Normal rank
@@ Property / cites work @@
+The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Optimal hedging when the underlying asset follows a regime-switching Markov process
+Normal rank
@@ Property / cites work @@
+Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality
+Normal rank
@@ Property / cites work @@
+Minimizing CVaR in global dynamic hedging with transaction costs
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+A Regime-Switching Model of Long-Term Stock Returns
+Normal rank
@@ Property / cites work @@
+Q5480304
@@ Property / cites work: Q5480304 / rank @@
+Normal rank
@@ Property / cites work @@
+Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
+Normal rank
@@ Property / cites work @@
+Quantile Hedging for Guaranteed Minimum Death Benefits with Regime Switching
+Normal rank
@@ Property / cites work @@
+Optimal hedging with basis risk under mean-variance criterion
+Normal rank