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
Abstract
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 |
|---|---|
| Official URL: | http://journals.cambridge.org/action/displayJourna... |
| Additional Information: | © 2006 Institute and Faculty of Actuaries |
| Divisions: | Financial Markets Group STICERD Economics |
| 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: | 11 Dec 2024 23:02 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2697 |
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