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Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...

Persistent link: https://www.econbiz.de/10015333614

On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …

Persistent link: https://www.econbiz.de/10011890772

Deep equal risk pricing of financial derivatives with non-translation invariant risk measures

Carbonneau, Alexandre; Godin, Frédéric - In: Risks : open access journal 11 (2023) 8, pp. 1-27

applied to the conventional deep hedging training algorithm so as to enable obtaining a price through a single training run … for the two neural networks associated with the respective long and short hedging strategies. The accuracy of the neural …

Persistent link: https://www.econbiz.de/10014391590

Nonparametric Malliavin-Monte Carlo computation of hedging Greeks

Mancino, Maria Elvira; Sanfelici, Simona - In: Risks : open access journal 8 (2020) 4/120, pp. 1-17

We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l …

Persistent link: https://www.econbiz.de/10012390464

When to hedge downside risk?

Giannikos, Christos; Guirguis, Hany; Kakolyris, Andreas; … - In: Risks : open access journal 12 (2024) 2, pp. 1-20

Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity …

Persistent link: https://www.econbiz.de/10014497324

A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

Persistent link: https://www.econbiz.de/10013363078

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634

Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Persistent link: https://www.econbiz.de/10011300314

Longevity risk management and the development of a value-based longevity index

Chang, Yang; Sherris, Michael - In: Risks : open access journal 6 (2018) 1, pp. 1-20

basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …

Persistent link: https://www.econbiz.de/10011811547

Economic policy uncertainty and cryptocurrency market as a risk management avenue : a systematic review

Ul Haq, Inzamam; Maneengam, Apichit; Supat Chupradit; … - In: Risks : open access journal 9 (2021) 9, pp. 1-24

hedging and diversification performance against each economy. Many research lines can benefit investors, policymakers, fund …

Persistent link: https://www.econbiz.de/10012632009