In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional … measures shrinks. Therefore, we obtain a modified mean-variance hedging problem, which takes into account the observed … obtain an explicit description of the optimal hedging strategy and an admissible, constrained variance-optimal signed …

It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of … hedging instruments from a given set of traded assets, in particular of zero coupon bonds, is studied. Misspecified hedging …

in discrete time. Therefore, the hedging bias which originates from the effects of time-discretising strategies is … analysed. It turns out that a systematic hedging bias can only be avoided if a discrete-time hedging model is used. It is shown … how the robustness property for convex payoffs is recovered while at the same time the hedging bias is avoided. …

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life … explicitly taking into account ``model risk''. In this context, we show how to determine the contract parameters conservatively … and implement robust risk management strategies. This highlights the necessity of a careful choice of guarantees which are …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is … governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To …. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical …

In the context of principal-agent theory risk is largely seen as a source that causes inefficiencies and lowers … tournament framework that risk in terms of chance is beneficial from the point of view of a profit maximizing principal who …

This paper’s objective is to use SKAT, the author’s Stages of Knowledge Ahead Theory of risk, to shed fresh light on … the treatment and prevention of mental disorders. SKAT employs a broad definition of risk that allows for nice – not … that puts centre stage why people (and other soft-wired animals) have brains – to make decisions under risk. To make good …