Optimal switching among different hedging strategies

Datum / Date: 6.6.16
Čas / Time: 10:00-11:00
Predavalnica / Location: FAMNIT-Muzejski1
Predavatelj / Lecturer: Ana Zalokar (UP IAM & UP FAMNIT)
Naslov / Title: Optimal switching among different hedging strategies
Povzetek / Abstract:

The motivation for our research problem comes from hedging reserves in life insurance policies with guarantees. Since some supervisory authority advise to take a hedging strategy, where the number of units of a risky asset is determined to always be one, one should consider if there is some other hedging strategy, which would be at some point better to use. If there is such, when would be the optimal time to switch from one to another? We will look at some simulations that confirms our assumption of existing such hedging strategy and we will look when would be optimal to switch in a general mathematical case. This is joint work with Mihael Perman.

Share with others

Accessibility Toolbar

Privacy Overview

This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.