Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

Siegel der Universität Augsburg

 

Oberseminar Wirtschaftsmathematik

 

Dr. Andreas Kunz
Münchner Rück

 
spricht am
 
Dienstag, 24. April 2018
 
um
 
15:45 Uhr
 
im
 
Raum 1009 (L1)
 
über das Thema:
 

»Economic Neutral Position: How to best replicate not fully replicable liabilities«

Abstract:
Financial undertakings often have to deal with liabilities of the form 'non-hedgeable claim size times value of a tradeable asset', e.g. foreign property insurance claims times fx rates. Which strategy to invest in the tradeable asset is risk minimal? We expand the capital requirements based on value-at-risk and expected shortfall using perturbation techniques. We derive a stable and fairly model independent approximation of the risk minimal asset allocation in terms of the claim size distribution and the first three moments of asset return. The results enable a correct and easy-to-implement modularization of capital requirements into a market risk and a non-hedgeable risk component: the paper provides a stable expression for the financial benchmark against which the company's asset allocation must be measured to obtain the market risk component.

 

Hierzu ergeht herzliche Einladung.
Prof. Dr. Ralf Werner



[Impressum]      [Datenschutz]      wwwadm@math.uni-augsburg.de,    Mi 18-Apr-2018 10:28:46 MESZ