CVaR Hedging in Defaultable Jump-Diffusion Markets
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Publication:5014531
DOI10.1007/978-3-030-76829-4_17zbMath1479.91409MaRDI QIDQ5014531
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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
default; jump-diffusion model; partial hedging; conditional value-at-risk; equity-linked life insurance contracts
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)
91G05: Actuarial mathematics
Cites Work
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