Dynamic hedging of conditional value-at-risk
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Publication:2444719
DOI10.1016/j.insmatheco.2012.03.011zbMath1284.91525MaRDI 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
stochastic modeling; quantile hedging; conditional value-at-risk; dynamic hedging; unit-linked contracts
91G70: Statistical methods; risk measures
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory
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