Existence And Uniqueness Of Equilibrium In a Reinsurance Syndicate
Journal article, Peer reviewed

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Date
2010Metadata
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Original version
Astin Bulletin : Actuarial Studies in Non-Life Insurance 2010, 40(2):491-517 10.2143/AST.40.2.2061125Abstract
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.
Description
-This is the author's version of the article.