5 citations · 13 across the 7 of their papers we have counts for
8 papers
On the degree of incompleteness of an incomplete financial market
Abdelkarem Berkaoui
In order to find a way of measuring the degree of incompleteness of an incomplete financial market, the rank of the vector price process of the traded assets and the dimension of t…
Multi-currency reserving for coherent risk measures
Saul Jacka, Seb Armstrong, Abdel Berkaoui
We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner b…
On representing and hedging claims for coherent risk measures
Saul Jacka, Seb Armstrong, Abdelkarem Berkaoui
We provide a dual characterisation of the weak-closure of a finite sum of cones in adapted to a discrete time filtration : the cone in the su…
On backward stochastic differential equations driven by a family of Itô's processes
Abdelkarem Berkaoui, El Hassan Essaky
We propose to study a new type of Backward stochastic differential equations driven by a family of Itô's processes. We prove existence and uniqueness of the solution, and investiga…
On representing claims for coherent risk measures
Saul Jacka, Abdelkarem Berkaoui
We consider the problem of representing claims for coherent risk measures. For this purpose we introduce the concept of (weak and strong) time-consistency with respect to a portfol…
On decomposing risk in a financial-intermediate market and reserving
Saul Jacka, Abdel Berkaoui
We consider the problem of decomposing monetary risk in the presence of a fully traded market in {\it some} risks. We show that a mark-to-market approach to pricing leads to such a…