Wednesday, June 14, 2023 - 14:00 in V10-122
Decomposition of profits and losses in dynamic time
A talk in the Mathematical finance / Insurance mathematics series by
Marcus C. Christiansen from Universität Oldenburg
| Abstract: |
Profit and loss attribution has a long history in risk management. It is the process of analyzing the change between two valuation dates and explaining the development of profits and losses by the movement of the risk sources between the two dates. The presentation starts with time-discrete modelling and discusses axiomatic concepts as well as heuristic methods for generating profit and loss decompositions. The concepts are then generalized to time-continuous modelling and a unique decomposition principle is identified through nine axioms. The theoretical results are illustrated with examples from insurance and finance.
Within the CRC this talk is associated to the project(s): C4 |
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