Rational investors are in general risk averse. An important implication of this risk aversion is that investors may … demand compensation for certain risks they take – risk premiums. Moment risk premiums are an example of such risk premiums …. They are defined as the difference between a particular statistical moment of the risk-neutral return distribution and the …

We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset …-diffusions and completely monotone Levy processes. We derive analytical results for the iVaR and disentangle the risk contribution of …