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Existence And Uniqueness Of Equilibrium In a Reinsurance Syndicate

Aase, Knut K.
Journal article, Peer reviewed
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URI
http://hdl.handle.net/11250/299690
Date
2010
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  • Articles (FOR) [100]
Original version
Astin Bulletin : Actuarial Studies in Non-Life Insurance 2010, 40(2):491-517   10.2143/AST.40.2.2061125
Abstract
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.
Publisher
Peeters Online Journals
Journal
Astin Bulletin : Actuarial Studies in Non-Life Insuranc

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