On decomposing risk in a financial-intermediate market and reserving
Probability
2008-12-10 v1 Risk Management
Abstract
We consider the problem of decomposing monetary risk in the presence of a fully traded market in {\it some} risks. We show that a mark-to-market approach to pricing leads to such a decomposition if the risk measure is time-consistent in the sense of Delbaen.
Keywords
Cite
@article{arxiv.math/0603041,
title = {On decomposing risk in a financial-intermediate market and reserving},
author = {Saul Jacka and Abdel Berkaoui},
journal= {arXiv preprint arXiv:math/0603041},
year = {2008}
}
Comments
17 pages