Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk

Claudia Ceci, Katia Colaneri, Rüdiger Frey, Verena Köck. Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk. SIAM J. Financial Math., 11(3):788-814, 2020. [doi]

Abstract

Abstract is missing.