On RVaR-based optimal partial hedging
Alexander Melnikov and Hongxi Wan
| Year of publication: |
2022
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|---|---|
| Authors: | Melnikov, Alexander ; Wan, Hongxi |
| Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 16.2022, 2, p. 349-366
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| Subject: | Equity-linked life insurance contracts | Mixed Fractional Brownian motion | Partial hedging | Range Value-at-Risk | Hedging | Lebensversicherung | Life insurance | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1748499521000269 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013342143