Economic neutral position : how to best replicate not fully replicable liabilities?
Andreas Kunz, Markus Popp
| 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
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| Subject: | Risk measure | Risk minimal asset allocation | Incomplete markets | Gram-Charlier series | Cornish-Fisher quantile approximation | Solvency II | Market risk | Replicating portfolio | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Unvollkommener Markt | Incomplete market | Risikomaß | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.10.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482749