Aase, Knut K. () (Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration)
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.
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Publisher Info
Paper provided by Department of Finance and Management Science, Norwegian School of Economics and Business Administration in its series Discussion Papers with number
2008/13.
Length: 24 pages Date of creation: 13 Aug 2008 Date of revision: Handle: RePEc:hhs:nhhfms:2008_013
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Find related papers by JEL classification: C62 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Existence and Stability Conditions of Equilibrium D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies
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