Barrieu, Pauline 
ORCID: 0000-0001-9473-263X and El Karoui, Nicole
(2004)
Optimal risk transfer.
Finance, 25.
pp. 31-47.
ISSN 0752-6180
Abstract
This article develops a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets, in the general framework of convex risk measures. The modelling involves a minimization of the risk borne by issuer given the constraint imposed by a buyer who enters the transaction if and only if her risk remains below a given threshold. Both agents have also the opportunity to invest all their residual wealth on financial markets but may not have the same access to financial investments.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.affi.asso.fr/ |
| Additional Information: | © 2004 The Authors |
| Divisions: | Statistics Centre for Analysis of Time Series |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| JEL classification: | C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods |
| Date Deposited: | 27 Feb 2014 13:01 |
| Last Modified: | 11 Sep 2025 06:51 |
| URI: | http://eprints.lse.ac.uk/id/eprint/55897 |
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