The Froot-Stein model revisited
Hogh, N., Linton, O. & Nielsen, J.
(2006).
The Froot-Stein model revisited.
Annals of Actuarial Science,
1(1), 37-47.
https://doi.org/10.1017/S174849950000004X
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 |
|---|---|
| Copyright holders | © 2006 Institute and Faculty of Actuaries |
| Departments |
LSE > Research Centres > Financial Markets Group LSE > Research Centres > STICERD LSE > Academic Departments > Economics |
| DOI | 10.1017/S174849950000004X |
| Date Deposited | 22 Aug 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/2697 |