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Existence and uniqueness of equilibrium in a reinsurance syndicate

Aase, Knut K.
Working paper
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http://hdl.handle.net/11250/164123
Utgivelsesdato
2008-07
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  • Discussion papers (FOR) [531]
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 Science
Serie
Discussion paper
2008:13

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