2026-06-28T10:38:32Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/163.12025-06-02T23:49:59Zcom_20.500.14352_14col_20.500.14352_15
Docta Complutense
author
Balbás De La Corte, Alejandro
author
Balbás, Beatriz
author
Balbás Aparicio, Raquel
2023-06-15T07:56:24Z
2023-06-15T07:56:24Z
2016
Balbás, Alejandro, et al. «VaR as the CVaR Sensitivity: Applications in Risk Optimization». Journal of Computational and Applied Mathematics, vol. 309, enero de 2017, pp. 175-85. https://doi.org/10.1016/j.cam.2016.06.036.
1989-8843
https://hdl.handle.net/20.500.14352/163.1
http://dx.doi.org/10.1016/j.cam.2016.06.036
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.
eng
VaR as the CVaR sensitivity: Applications in risk optimization
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VaR as the CVaR..pdf