Mean‐variance hedging with basis risk
Basis risk arises in a number of financial and insurance risk management problems when the hedging assets do not perfectly match the underlying asset in a hedging program. Notable examples in insurance include the hedging for longevity risks, weather index–based insurance products, variable annuitie...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2021
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/149141 |