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Journal Articles Risk and Decision Analysis Year : 2012

Viabilist and tychastic approaches to guaranteed ALM problem

Abstract

This study reconsiders the problem of hedging a liability by a portfolio made of a riskless asset and an underlying.
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Dates and versions

hal-00800178 , version 1 (13-03-2013)

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Jean-Pierre Aubin. Viabilist and tychastic approaches to guaranteed ALM problem. Risk and Decision Analysis, 2012, 3 (1-2), pp.89-113. ⟨10.3233/RDA-2011-0033⟩. ⟨hal-00800178⟩
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