Economic neutral position : how to best replicate not fully replicable liabilities?
Year of publication: |
2021
|
---|---|
Authors: | Kunz, Andreas ; Popp, Markus |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 96.2021, p. 53-67
|
Subject: | Risk measure | Risk minimal asset allocation | Incomplete markets | Gram-Charlier series | Cornish-Fisher quantile approximation | Solvency II | Market risk | Replicating portfolio | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | Risikomaß | Unvollkommener Markt | Incomplete market | Marktrisiko | Risikomanagement | Risk management |
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