Economic neutral position: how to best replicate not fully replicable liabilities? (Q2656988)
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scientific article; zbMATH DE number 7324183
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| English | Economic neutral position: how to best replicate not fully replicable liabilities? |
scientific article; zbMATH DE number 7324183 |
Statements
Economic neutral position: how to best replicate not fully replicable liabilities? (English)
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17 March 2021
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risk measure
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risk minimal asset allocation
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incomplete markets
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Gram-Charlier series
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Cornish-Fisher quantile approximation
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Solvency II
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market risk
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replicating portfolio
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0.7434236407279968
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0.735981285572052
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0.7322467565536499
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0.7321344017982483
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0.7290422916412354
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