On RVaR-based optimal partial hedging
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 | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure |
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