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The Froot-Stein model revisited

Hogh, N., Linton, Oliver and Nielsen, J.P. (2006) The Froot-Stein model revisited. Annals of Actuarial Science, 1 (1). pp. 37-47. ISSN 1748-4995

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Identification Number: 10.1017/S174849950000004X


We investigate the model of Froot & Stein (1998), a model which has very strong implications for risk management. We argue that their conclusions are too strong and need to be qualified. We also argue that their analysis is incorrect and incomplete. Specifically, there are some unusual consequences of their model, which may be linked to the chosen pricing formula.

Item Type: Article
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Additional Information: © 2006 Institute and Faculty of Actuaries
Divisions: Financial Markets Group
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
JEL classification: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty
Date Deposited: 22 Aug 2007
Last Modified: 03 Sep 2021 23:12

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