Existence and uniqueness of equilibrium in a reinsurance syndicate
Working paper
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http://hdl.handle.net/11250/164123Utgivelsesdato
2008-07Metadata
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Sammendrag
In this paper we consider a reinsurance syndicate, assuming that
Pareto optimal allocations exist. Under a continuity assumption on
preferences, we show that a competitive equilibrium exists and is
unique. Our conditions allow for risks that are not bounded, and
we show that the most standard models satisfy our set of sufficient
conditions, which are thus not too restrictive. Our approach is to
transform the analysis from an infinite dimensional to a finite dimensional
setting.
Utgiver
Norwegian School of Economics and Business Administration. Department of Finance and Management ScienceSerie
Discussion paper2008:13