Large losses—probability minimizing approach
Volume 31 / 2004
Applicationes Mathematicae 31 (2004), 243-257
MSC: 60G42, 91B28, 91B24, 91B30.
DOI: 10.4064/am31-3-1
Abstract
The probability minimizing problem for large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
