Rational hedging and valuation of integrated risks under constant absolute risk aversion.

DOI10.1016/S0167-6687(03)00140-9zbMath1072.91025MaRDI QIDQ1413332

Dirk Becherer

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

DiversificationExponential premium principleIntegrated risksUtility-based hedgingUtility-indifference price

Mathematics Subject Classification ID

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