(The following paper can be viewed or downloaded in Acrobat
format.)
"The Froot-Stein Model Revisited"
(with N. Hogh and J. Nielsen)
We investigate the model of Froot and Stein (1998), a model that 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.
Revised, September 2004. Forthcoming in British Actuarial Journal.
"Conscious risk selection using shareholder value as optimality measure"
(Master's thesis of N. Hogh)