IDEAS home Printed from https://ideas.repec.org/p/arx/papers/math-0603041.html
   My bibliography  Save this paper

On decomposing risk in a financial-intermediate market and reserving

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/math/0603041
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sven Rady, 1997. "Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)," Finance and Stochastics, Springer, vol. 1(4), pages 331-344.
    2. Sergio Pulido, 2010. "The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions," Papers 1012.3102, arXiv.org, revised Jan 2014.
    3. Martin Herdegen & Martin Schweizer, 2018. "Semi‐efficient valuations and put‐call parity," Mathematical Finance, Wiley Blackwell, vol. 28(4), pages 1061-1106, October.
    4. Berkaoui, Abdelkarem, 2023. "On the optional and orthogonal decompositions of supermartingales and applications," Statistics & Probability Letters, Elsevier, vol. 199(C).
    5. Domenico Cuoco & Hua He, 2001. "Dynamic Aggregation and Computation of Equilibria in Finite-Dimensional Economies with Incomplete Financial Markets," Annals of Economics and Finance, Society for AEF, vol. 2(2), pages 265-296, November.
    6. Huhtala, Heli, 2008. "Along but beyond mean-variance: Utility maximization in a semimartingale model," Bank of Finland Research Discussion Papers 5/2008, Bank of Finland.
    7. Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
    8. Johannes Ruf, 2010. "Hedging under arbitrage," Papers 1003.4797, arXiv.org, revised May 2011.
    9. Kuhn, Christoph, 2002. "Pricing contingent claims in incomplete markets when the holder can choose among different payoffs," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 215-233, October.
    10. repec:zbw:bofrdp:2008_005 is not listed on IDEAS
    11. Abdelkarem Berkaoui, 2018. "On the degree of incompleteness of an incomplete financial market," Papers 1811.07509, arXiv.org.
    12. Walter Schachermayer, 1993. "A Counterexample to Several Problems In the Theory of Asset Pricing," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 217-229, April.
    13. Huhtala, Heli, 2008. "Along but beyond mean-variance : Utility maximization in a semimartingale model," Research Discussion Papers 5/2008, Bank of Finland.
    14. Elyès Jouini & Hédi Kallal, 1999. "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 275-292, July.
    15. Barbachan, José Fajardo, 2002. "Equilibrium in stochastic economies with incomplete financial markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 22(1), May.
    16. Tahir CHOULLI & Martin SCHWEIZER, 2015. "Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales," Swiss Finance Institute Research Paper Series 15-15, Swiss Finance Institute.
    17. Mehdi Vazifedan & Qiji Jim Zhu, 2020. "No-Arbitrage Principle in Conic Finance," Risks, MDPI, vol. 8(2), pages 1-34, June.
    18. repec:dau:papers:123456789/5603 is not listed on IDEAS
    19. Dragana Valjarević, 2024. "Concepts of Statistical Causality and Strong and Weak Properties of Predictable Representation," Mathematics, MDPI, vol. 12(5), pages 1-11, February.
    20. Kuhn, Christoph, 2004. "Game contingent claims in complete and incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 889-902, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:math/0603041. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.