On decomposing risk in a financial-intermediate market and reserving

Details On decomposing risk in a financial-intermediate market and reserving On decomposing risk in a financial-intermediate market and reserving

2006-03-02

arxiv.org/abs/math/0603041v1

Mathematics

Probability

17 pages

Scientific paper

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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