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Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate

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  • Aase, Knut K.

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 restrictive. Our approach is to transform the analysis from an infinite dimensional to a finite dimensional setting.

Suggested Citation

  • Aase, Knut K., 2010. "Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 491-517, November.
    • Handle: RePEc:cup:astinb:v:40:y:2010:i:02:p:491-517_00
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    Cited by:

    1. Knut K. Aase, 2022. "Optimal Risk Sharing in Society," Mathematics, MDPI, vol. 10(1), pages 1-31, January.

    More about this item

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - 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; Actuarial Studies

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