Displaying similar documents to “Mathematical methods in modern risk measurement: a survey.”

Quantile hedging on markets with proportional transaction costs

Michał Baran (2003)

Applicationes Mathematicae

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The problem of risk measures in a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk are introduced. This gives a generalization of quantile hedging presented in [4].

Gain-loss pricing under ambiguity of measure

Mustafa Ç. Pınar (2010)

ESAIM: Control, Optimisation and Calculus of Variations

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Motivated by the observation that the gain-loss criterion, while offering economically meaningful prices of contingent claims, is sensitive to the reference measure governing the underlying stock price process (a situation referred to as ambiguity of measure), we propose a gain-loss pricing model robust to shifts in the reference measure. Using a dual representation property of polyhedral risk measures we obtain a one-step, gain-loss criterion based theorem of asset pricing under...

Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances

Pierre Devolder, Adrien Lebègue (2016)

Dependence Modeling

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The purpose of this paper is twofold. First we consider a ruin theory approach along with risk measures in order to determine the solvency capital of long-term guarantees such as life insurances or pension products. Secondly, for such products,we challenge the definition of the Solvency Capital Requirement (SCR) under the Solvency II (SII) regulatory framework based on a yearly viewpoint. Several methods for the calculation of the solvency capital are presented. We start our study with...

Some short elements on hedging credit derivatives

Philippe Durand, Jean-Frédéric Jouanin (2007)

ESAIM: Probability and Statistics

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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...