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On decomposing risk in a financial-intermediate market and reserving

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  • Saul Jacka
  • Abdel Berkaoui

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.

Suggested Citation

  • Saul Jacka & Abdel Berkaoui, 2006. "On decomposing risk in a financial-intermediate market and reserving," Papers math/0603041, arXiv.org.
    • Handle: RePEc:arx:papers:math/0603041
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    References listed on IDEAS

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    1. S. D. Jacka, 1992. "A Martingale Representation Result and an Application to Incomplete Financial Markets," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 239-250, October.
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    Cited by:

    1. Alexander S. Cherny, 2009. "Capital Allocation And Risk Contribution With Discrete‐Time Coherent Risk," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 13-40, January.

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