Library Header Image
LSE Research Online LSE Library Services

Optimal risk transfer

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

Full text not available from this repository.


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:
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: 21 Sep 2021 23:07

Actions (login required)

View Item View Item