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~person:"Albrecht, Peter"
~person:"Giot, Pierre"
~person:"Li, Johnny Siu-Hang"
~subject:"Hedging"
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Albrecht, Peter
Giot, Pierre
Li, Johnny Siu-Hang
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5
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1
Asymmetry in mortality volatility and its implications on index-based longevity hedging
Zhou, Kenneth Q.
;
Li, Johnny Siu-Hang
- In:
Annals of actuarial science : publ. by the Institute of …
14
(
2020
)
2
,
pp. 278-301
Persistent link: https://www.econbiz.de/10012307356
Saved in:
2
Tail Risk Hedging and Regime Switching
Huggenberger, Markus
-
2016
We analyze hedging strategies that minimize tail risk measured by
Value-at-Risk
(VaR) or Conditional-
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10013008471
Saved in:
3
Delta-hedging longevity risk under the M7-M5 model : the impact of cohort effect uncertainty and population basis risk
Zhou, Kenneth Q.
;
Li, Johnny Siu-Hang
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10011990427
Saved in:
4
Quantilbasierte Wertsicherungsstrategien mit Futures
Pekelis, Alexandr
-
2018
Persistent link: https://www.econbiz.de/10012002196
Saved in:
5
Safety first-Portfoliooptimierung bei Beschränkung des Conditional
Value
at
Risk
Albrecht, Peter
-
2012
Persistent link: https://www.econbiz.de/10009578725
Saved in:
6
Conditional
value
at
risk
-minimale future hedges
Albrecht, Peter
-
2012
Persistent link: https://www.econbiz.de/10009742092
Saved in:
7
VaR- and CVaR-minimal futures hedging strategies : an analytical approach
Albrecht, Peter
;
Huggenberger, Markus
;
Pekelis, Alexandr
-
2011
Persistent link: https://www.econbiz.de/10009316225
Saved in:
8
Theoretische Grundlagen des Minimum-
Value
at
Risk
-Hedges
Albrecht, Peter
-
2010
Persistent link: https://www.econbiz.de/10008903635
Saved in:
9
Zur Theorie des
Value
at
Risk
-minimalen Hedges
Albrecht, Peter
- In:
Schmalenbachs Zeitschrift für betriebswirtschaftliche …
63
(
2011
)
1
,
pp. 2-18
Persistent link: https://www.econbiz.de/10008841087
Saved in:
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