RT Report
T1 VaR as the CVaR sensitivity: Applications in risk optimization
A1 Balbás, Alejandro
A1 Balbás, Beatriz
A1 Balbás Aparicio, Raquel
AB 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.
SN 1989-8843
YR 2016
FD 2016
LK https://hdl.handle.net/20.500.14352/163.1
UL https://hdl.handle.net/20.500.14352/163.1
LA eng
NO Publicado 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
NO Ministerio de Economía y Competitividad (MINECO)
DS Docta Complutense
RD 13 abr 2025