arXiv subjects

Saul Jacka

Publications and source records attributed to Saul Jacka.

20 records · Page 2Linked to original sources

arXiv2006

On decomposing risk in a financial-intermediate market and reserving

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 decomposition if the risk measure is time-consistent in the sense of Delbaen.

math.PR↗

arXiv2005

Random orderings of the integers and card shuffling

In this paper we study random orderings of the integers with a certain invariance property. We describe all such orders in a simple way. We define and represent random shuffles of a countable set of labels and then give an interpretation of these orders in terms of a class of generalized riffle shuffles.

math.PR↗