Cross-hedging minimum return guarantees : basis and liquidity risks
Stefan Ankirchner; Judith C. Schneider; Nikolaus Schweizer
| Year of publication: |
2014
|
|---|---|
| Authors: | Ankirchner, Stefan ; Schneider, Judith Christiane ; Schweizer, Nikolaus |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 41.2014, p. 93-109
|
| Subject: | Basis risk | Least-squares Monte Carlo | Liquidity risk | Periodic premia | Variable annuities | Hedging | Theorie | Theory | Kapitaleinkommen | Capital income | Monte-Carlo-Simulation | Monte Carlo simulation | Risikoprämie | Risk premium | Risiko | Risk | Lebensversicherung | Life insurance | Liquidität | Liquidity | Risikomaß | Risk measure | Risikomanagement | Risk management | Derivat | Derivative | Risikomodell | Risk model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010425003