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University of Waterloo
Stress testing, regression
Life-Cycle Investing, Epstein-Zin Preferences, Uncertain Lifetime, Consumption Smoothing, Elasticity of Intertemporal Substitution
Economic Scenario Generators
first-loss, hedge funds, liquidation barrier, portfolio downside protection, portfolio reinsurance
participating contract; utility maximization; martingale and dual approach; concavification technique; stochastic control
Pension plans; Intergenerational Risk Sharing; Ergodic Control
Pension Risk Management, Optimal Exercise
Spectral risk measure, Expected shortfall, Dependence uncertainty, Optimal transport, Monge-Kantorovich duality.
Optimal transport, Measures on product spaces with fixed marginals, Continuity of correspondences on spaces of measures, Matching with transferable utility, Assignment game, Hedonic pricing
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id3829871.pdf
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first loss; hedge funds; liquidation barrier; portfolio downside protection; portfolio reinsurance.
Conterparty Credit Risk, Wrong-way Risk, Mass Transportation
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