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 …

portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay … a range of assumptions for the longevity risk premium, the term to maturity of the hedging instruments, as well as the … is calibrated using Australian mortality data. The hedging of the life annuity portfolio is comprehensively assessed for …

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 …

We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing … longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged. We apply … uncertainty of model selection into the modeling of longevity basis risk. The hedging results under this approach may …

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced … region under study and introducing Value-at-Risk (VaR) and Expected Shortfall (ES) as appropriate measures for the strike … price. The numerical results show that VaR and ES are both efficient ways for managing the so-called Tail Risk; further …

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 …

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of …-Kunita-Watanabe decomposition for a general insurance contract and specify risk-minimizing strategies in a Brownian financial market setting. The …

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 …

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 …