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Characterizing the Premium at the Equilinrium of a Reinsurance Market with Short Sale Constraints

Author

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  • Bernis, G.
  • Jouini, E.

Abstract

This 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.

Suggested Citation

  • Bernis, G. & Jouini, E., 2000. "Characterizing the Premium at the Equilinrium of a Reinsurance Market with Short Sale Constraints," Papiers d'Economie Mathématique et Applications 2000.46, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:2000.46
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    Keywords

    INSURANCE ; GENERAL EQUILIBRIUM ; ECONOMIC MODELS;
    All these keywords.

    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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