On decomposing risk in a financial-intermediate market and reserving
classification
🧮 math.PR
q-fin.RM
keywords
riskdecomposingmarketapproachconsiderdecompositiondelbaenfinancial-intermediate
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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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