On decomposing risk in a financial-intermediate market and reserving

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dc.creatorJacka, Saul
dc.creatorBerkaoui, Abdel
dc.date2006-03-02
dc.date.accessioned2026-07-07T12:11:16Z
dc.date.available2026-07-07T12:11:16Z
dc.descriptionWe 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.
dc.description17 pages
dc.identifierhttps://arxiv.org/abs/math/0603041
dc.identifierhttp://arxiv.org/abs/math/0603041
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210168
dc.subjectProbability
dc.subjectRisk Management
dc.subject91B30; 91B28; 91B26; 90C46; 60H05
dc.titleOn decomposing risk in a financial-intermediate market and reserving
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