Characterizing the Premium at the Equilinrium of a Reinsurance Market with Short Sale Constraints
AbstractThis paper investigates necessary conditions for an equilibrium to exist on a reinsurance market with short sale constraints. It establishes that, equilibrium, there exists an equivalent probability measure under which the reinsurance premium is the compensator of the jump process describing the risk (even if, a priori, the form of the premium does not allow "à la Girsanov" changes of probability). Besides, the equivalent probability is locally represented by the marginal utility of some insurance companies.
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Bibliographic InfoPaper provided by UniversitÃ© PanthÃ©on-Sorbonne (Paris 1) in its series Papiers d'Economie MathÃ©matique et Applications with number 2000.46.
Length: 21 pages
Date of creation: 2000
Date of revision:
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INSURANCE ; GENERAL EQUILIBRIUM ; ECONOMIC MODELS;
Find related papers by JEL classification:
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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