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arXiv math/0603041math.PRq-fin.RM
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On decomposing risk in a financial-intermediate market and reserving

Saul Jacka, Abdel Berkaoui

英文摘要:

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.

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