Barrieu, Pauline 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 |
| 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 |
| Date Deposited: | 27 Feb 2014 13:01 |
| URL: | http://eprints.lse.ac.uk/55897/ |
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