Dynamic hedging of conditional value-at-risk

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

zbMATH Keywords

stochastic modeling; quantile hedging; conditional value-at-risk; dynamic hedging; unit-linked contracts

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

Related Items

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

Cites Work

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