CVaR hedging in defaultable jump-diffusion markets

DOI10.1007/978-3-030-76829-4_17MaRDI QIDQ5014531zbMATH OpenOpenAlexFDO

Authors

Publication date 8 December 2021

Published in Operator Theory and Harmonic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-76829-4_17

zbMATH Keywords

defaultpartial hedgingconditional value-at-riskjump-diffusion modelequity-linked life insurance contracts

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Recommendations

• Dynamic hedging of conditional value-at-risk
• CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs
• Approximation of CVaR minimization for hedging under exponential-Lévy models
• Partial hedging for defaultable claims
• Quadratic hedging methods for defaultable claims

Cites work

• scientific article; zbMATH DE number 2144815 (Why is no real title available?)
• scientific article; zbMATH DE number 6759427 (Why is no real title available?)
• Dynamic hedging of conditional value-at-risk
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
• Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
• Efficient hedging: cost versus shortfall risk
• Option pricing when underlying stock returns are discontinuous
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Partial hedging for defaultable claims
• Quantile hedging
• Quantile hedging and its application to life insurance

Cited in

(6)

• CVaR-minimising hedging by a smoothing method
• Hedging default risks of CDOs in Markovian contagion models
• Dynamic hedging of conditional value-at-risk
• Approximation of CVaR minimization for hedging under exponential-Lévy models
• Pathwise CVA regressions with oversimulated defaults
• CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs

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