measures of risk. Furthermore, Qα(X ; p) is the optimal value in a certain minimization problem, the minimizers in which are … problems. In finance, Q0(X;p) and Q1(X ; p) are known as the value at risk (VaR) and the conditional value at risk (CVaR). The … sensitivity to risk. The problems of the effective computation of the bounds are considered. Various other related results are …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …

market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …

Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches … between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two …-population model to measure and assess longevity basis risk is required. In this paper, we aim to construct a two-population mortality …

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity … manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk …

trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent … uncorrelated. This permits us to disentangle trend risk and population basis risk, thereby sparing us from the need to use a … improved robustness in terms of correlation structures and hedging performance, offering a new perspective on treating cross …

Little in the scholarly economics literature is directed specifically to the performance of stable value funds … portfolios across a broad range of risk aversion levels. We discuss factors that contributed to stable value funds’ past …

-order risk aversion, with the Omega measure, and with a tendency to over-insure modest risks that has been been extensively …

, we consider the joint determination of output and hedging in the case of flexibility in production. We show that the risk …We extend the analysis on hedging with price and output uncertainty by endogenizing the output decision. Specifically … context of an example, we show that the presence of production flexibility reduces the incentive to hedge for all risk averse …

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional …) Markovian setup. In particular, we analyse the hedging performance of the original architecture under rough volatility models in … capable of capturing the non-Markoviantity of time-series. We also analyse the hedging behaviour in these models in terms of …