Toward a Theory of Reinsurance and Retrocession
There is a natural tradeoff between the benefits of increasing the number of competitors in an insurance market and the drawback to the weakening of the law of large numbers due to the diminishing of average reserves. In this investigation we consider the possibility for optimal layers of reinsurance and retrocession in the design of the insurance industry. A general question which may be asked of all financial institutions is what factors limit the number of layers of paper which can be constructed?
|Date of creation:||Jun 1999|
|Date of revision:|
|Publication status:||Published in Insurance: Mathematics and Economics (2001), 29(2): 271-290|
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- Powers, Michael R. & Shubik, Martin, 1998. "On the tradeoff between the law of large numbers and oligopoly in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 141-156, November.
- Dubey, Pradeep & Shubik, Martin, 1978. "A theory of money and financial institutions. 28. The non-cooperative equilibria of a closed trading economy with market supply and bidding strategies," Journal of Economic Theory, Elsevier, vol. 17(1), pages 1-20, February.
- M. Moshe Porat & Michael R. Powers, 1999. "What Is “Insurance”? Lessons From The Captive Insurance Tax Controversy," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 2(2), pages 72-80, 01.
- John Geanakoplos & Martin Shubik, 1989. "The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets," Cowles Foundation Discussion Papers 913, Cowles Foundation for Research in Economics, Yale University.
- Michael R. Powers & Martin Shubik & Shuntian Yao, 1994.
"Insurance Market Games: Scale Effects and Public Policy,"
Cowles Foundation Discussion Papers
1076, Cowles Foundation for Research in Economics, Yale University.
- Michael Powers & Martin Shubik & Shun Yao, 1998. "Insurance market games: Scale effects and public policy," Journal of Economics, Springer, vol. 67(2), pages 109-134, June.
- Arrow, Kenneth J, 1996. "The Theory of Risk-Bearing: Small and Great Risks," Journal of Risk and Uncertainty, Springer, vol. 12(2-3), pages 103-11, May.
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