On decomposing risk in a financial-intermediate market and reserving

Saul Jacka and Abdel Berkaoui

Papers from arXiv.org

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.

Date: 2006-03
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