Blar i NHH Brage på emneord "equilibrium"
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Equilibrium in marine mutual insurance markets with convex operating costs
(Discussion paper, Working paper, 2006-02)The paper analyzes the possibility of reaching an equilibrium in a market of marine mutual insurance syndicates, called Protection and Indemnity Clubs, or P&I Clubs for short, displaying economies of scale. Our analysis ... -
The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
(Discussion paper, Working paper, 2008-05)We compare the Nash bargaining solution in a reinsurance syndicate to the competitive equilibrium allocation, focusing on uncertainty and risk aversion. Restricting attention to proportional reinsurance treaties, we find ... -
Optimal risk sharing
(Discussion paper, Working paper, 2003-01)Optimal risk sharing is considered from the perspective of the risk sharing model introduced by Karl Borch in the late 50ies. First we introduce, in a modern setting, the main concepts from this theory. These we apply ... -
Optimal Risk-Sharing and Deductables in Insurance
(Discussion paper, Working paper, 2006)Risk-sharing in insurance is analyzed, with a view towards explaining the prevalence of deductibles. First we introduce, in a modern setting, the main concepts of the theory of risk-sharing in a group of agents. This theory ... -
Perspectives of risk sharing
(Discussion paper, Working paper, 2000-05)In this paper we present an overview of the standard risk sharing model of insurance. We discuss and characterize a competitive equilibrium, Pareto optimality, and representative agent pricing, including its implications ... -
Strategic insider trading equilibrium : a forward integration approach
(Discussion paper, Working paper, 2007-11)The continuous-time version of Kyle’s (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders ... -
Strategic insider trading equilibrium: A filter theory approach
(Journal article; Peer reviewed, 2012)The continuous-time version of Kyle’s (Econometrica 53(6):1315–1336, 1985 ) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity ...