Dynamic hedging of conditional value-at-risk

DOI10.1016/j.insmatheco.2012.03.011zbMath1284.91525OpenAlexW2069170620MaRDI QIDQ2444719

Ivan Smirnov, Alexander V. Melnikov

Publication date: 10 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.03.011

zbMATH Keywords

stochastic modelingquantile hedgingconditional value-at-riskdynamic hedgingunit-linked contracts

Mathematics Subject Classification ID

Related Items (10)

Hedging conditional value at risk with options ⋮ Applications of central limit theorems for equity-linked insurance ⋮ Option Pricing and CVaR Hedging in the Regime-Switching Telegraph Market Model ⋮ CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs ⋮ Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies ⋮ VAR-BASED OPTIMAL PARTIAL HEDGING ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ On modifications of the Bachelier model ⋮ Minimizing CVaR in global dynamic hedging with transaction costs ⋮ CVaR Hedging in Defaultable Jump-Diffusion Markets

Cites Work

• Decision principles derived from risk measures
• An optimization approach to the dynamic allocation of economic capital
• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
• Maximizing the probability of a perfect hedge
• Efficient hedging: cost versus shortfall risk
• Quantile hedging
• Coherent Measures of Risk
• Portfolio Risk Management with CVaR-Like Constraints
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
• Generalized Neyman-Pearson lemma via convex duality.

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