Existence And Uniqueness Of Equilibrium In a Reinsurance Syndicate
Journal article, Peer reviewed
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Original versionAstin Bulletin : Actuarial Studies in Non-Life Insurance 2010, 40(2):491-517 10.2143/AST.40.2.2061125
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.
-This is the author's version of the article.