英文标题：
《Market risk modelling in Solvency II regime and hedging options not
using underlying》
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作者：
Przemys{\\l}aw Klusik
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最新提交年份：
2014
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英文摘要：
In the paper we develop mathematical tools of quantile hedging in incomplete market. Those could be used for two significant applications: o calculating the \\textbf{optimal capital requirement imposed by Solvency II} (Directive 2009/138/EC of the European Parliament and of the Council) when the market and non-market risk is present in insurance company. We show hot to find the minimal capital $V_0$ to provide with the one-year hedging strategy for insurance company satisfying $E\\left[{\\mathbf 1}_{\\{V_1 \\geq D\\}}\\right]=0.995$, where $V_1$ denotes the value of insurance company in one year time and $D$ is the payoff of the contract. o finding a hedging strategy for derivative not using underlying but an asset with dynamics correlated or in some other way dependent (no deterministically) on underlying. The work is a generalisation of the work of Klusik and Palmowski \\cite{KluPal}. Keywords: quantile hedging, solvency II, capital modelling, hedging options on nontradable asset.
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中文摘要：
本文开发了不完全市场分位数套期保值的数学工具。这些可用于两个重要应用：o当保险公司存在市场和非市场风险时，计算偿付能力II（Solvency II）规定的最佳资本要求（欧洲议会和理事会的指令2009/138/EC）。我们希望找到最低资本额$V_0$，为满足$E\\left[{\\mathbf 1}{{{V_1\\geq D\\}\\right]=0.995$的保险公司提供一年期套期保值策略，其中$V_1$表示保险公司在一年内的价值，$D$表示合同的回报。o为衍生工具寻找套期保值策略，该衍生工具不使用基础资产，而是使用与基础资产相关或以其他方式依赖（非决定性）的动态资产。这项工作是对Klusik和Palmowski的工作的概括。关键词：分位数套期保值，偿付能力II，资本建模，非交易资产套期保值期权。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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