Universidad Complutense de Madrid
E-Prints Complutense

VaR as the CVaR sensitivity: Applications in risk optimization

Impacto

Downloads

Downloads per month over past year



Balbás, Alejandro and Balbás, Beatriz and Balbás Aparicio, Raquel (2017) VaR as the CVaR sensitivity: Applications in risk optimization. Journal of Computational and Applied Mathematics, 309 . pp. 175-185. ISSN 0377-0427

This is the latest version of this item.

[img] PDF
Restringido a Repository staff only

503kB

Official URL: http://dx.doi.org/10.1016/j.cam.2016.06.036



Abstract

VaR minimization is a complex problem playing a critical role in many actuarial and financial applications of mathematical programming. The usual methods of convex programming do not apply due to the lack of sub-additivity. The usual methods of differentiable programming do not apply either, due to the lack of continuity. Taking into account that the CVaR may be given as an integral of VaR, one has that VaR becomes a first order mathematical derivative of CVaR. This property will enable us to give accurate approximations in VaR optimization, since the optimization VaR and CVaR will become quite closely related topics. Applications in both finance and insurance will be given.

Resumen (otros idiomas)

Item Type:Article
Uncontrolled Keywords:VaR optimization; CVaR sensitivity; Approximation methods; Optimality conditions; Actuarial and financial applications.
Subjects:Sciences > Mathematics > Finance
Social sciences > Economics > Econometrics
Social sciences > Economics > Insurance
JEL:C02, C61, G11, G22
ID Code:57814
Deposited On:19 Nov 2019 09:57
Last Modified:19 Nov 2019 13:31

Available Versions of this Item

Origin of downloads

Repository Staff Only: item control page