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VaR as the CVaR sensitivity: Applications in risk optimization

dc.contributor.authorBalbás, Alejandro
dc.contributor.authorBalbás, Beatriz
dc.contributor.authorBalbás Aparicio, Raquel
dc.date.accessioned2023-06-15T07:56:24Z
dc.date.available2023-06-15T07:56:24Z
dc.date.issued2016
dc.descriptionPublicado como artículo de revista: Balbás, Alejandro et al. “VaR as the CVaR sensitivity: Applications in risk optimization.” J. Comput. Appl. Math. 309 (2017): 175-185. http://dx.doi.org/10.1016/j.cam.2016.06.036
dc.description.abstractVaR 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.
dc.description.departmentDepto. de Economía Financiera y Actuarial y Estadística
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.refereedTRUE
dc.description.sponsorshipMinisterio de Economía y Competitividad (MINECO)
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/57814
dc.identifier.issn1989-8843
dc.identifier.urihttps://hdl.handle.net/20.500.14352/163.1
dc.issue.number16-01
dc.journal.titleJournal of Computational and Applied Mathematics
dc.language.isoeng
dc.page.final185
dc.page.initial175
dc.page.total24
dc.relation.ispartofseriesWorking Paper Business Economic Series
dc.relation.projectID(ECO2012-39031-C02-01)
dc.rights.accessRightsopen access
dc.subject.jelC02
dc.subject.jelC61
dc.subject.jelG11
dc.subject.jelG22
dc.subject.keywordVaR optimization
dc.subject.keywordCVaR sensitivity
dc.subject.keywordApproximation methods
dc.subject.keywordOptimality conditions
dc.subject.keywordActuarial and financial applications.
dc.subject.ucmEconomía financiera
dc.subject.ucmEconometría (Economía)
dc.subject.ucmSeguros
dc.subject.unesco5302 Econometría
dc.subject.unesco5304.05 Seguros
dc.titleVaR as the CVaR sensitivity: Applications in risk optimization
dc.typetechnical report
dspace.entity.typePublication
relation.isAuthorOfPublication5f4fa038-ff5c-48af-9ee5-0a7a47767e27
relation.isAuthorOfPublication.latestForDiscovery5f4fa038-ff5c-48af-9ee5-0a7a47767e27

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