| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076765 | Insurance: Mathematics and Economics | 2012 | 9 Pages |
Abstract
⺠We construct CVaR-optimal hedges subject to constraints on the initial wealth. ⺠We also discuss how to minimize hedging costs subject to a CVaR constraint. ⺠The approach is illustrated by deriving closed-form solutions in the Black-Scholes model. ⺠A practical application: CVaR-hedging a unit-linked life insurance contract.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Alexander Melnikov, Ivan Smirnov,