Partial hedging for defaultable claims

DOI10.1007/978-4-431-53883-7_6MaRDI QIDQ3000046zbMATH OpenOpenAlexFDO

Authors Yumiharu Nakano

Publication date 18 May 2011

Published in Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-4-431-53883-7_6

zbMATH Keywords

convex dualitydefaultable claimshedgingjump processesNeyman-Pearson lemma

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cited in

(11)

• Methods of partial hedging
• Quantile hedging pension payoffs: an analysis of investment incentives
• Convex hedging of non-superreplicable claims in discrete-time market models
• A dual representation of gain-loss hedging for European claims in discrete time
• scientific article; zbMATH DE number 2133119 (Why is no real title available?)
• Testing hypotheses for measures with different masses: Four optimization problems
• Dual optimization problem on defaultable claims
• Quantile hedging in a defaultable market with life insurance applications
• CVaR hedging in defaultable jump-diffusion markets
• Solving the problem of partial hedging through a dual problem
• Efficient hedging of life insurance portfolio for loss-averse insurers

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