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Optimal risk transfer

Barrieu, Pauline and El Karoui, Nicole (2004) Optimal risk transfer. Finance, 25 . pp. 31-47. ISSN 0752-6180

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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
Library of Congress subject classification: H Social Sciences > HG Finance
Q Science > QA Mathematics
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods
Sets: Departments > Statistics
Research centres and groups > Centre for the Analysis of Time Series (CATS)
Research centres and groups > Risk and Stochastics Group
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 27 Feb 2014 13:01
URL: http://eprints.lse.ac.uk/55897/

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