Can I read Loss Averse Convex Hedging in Insurance on EtoBox?
Loss Averse Convex Hedging in Insurance by taoli362573 is a document available to read on EtoBox.
What is Loss Averse Convex Hedging in Insurance about?
This article discusses a loss averse convex hedging approach for the fair dynamic valuation of insurance liabilities, addressing the requirements of recent solvency regulations. The authors demonstrate that this method, which emphasizes loss aversion, can provide a safety margin and is equivalent to existing fair dynamic valuation techniques. The study includes a comprehensive characterization of loss averse mean-variance hedging and offers numerical examples for practical implementation.
- Author
- taoli362573
- Language
- EN