Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
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.
|Date of creation:||13 Aug 2008|
|Contact details of provider:|| Postal: NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway|
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- Gerber, Hans U., 1978. "Pareto-Optimal Risk Exchanges and Related Decision Problems," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 10(01), pages 25-33, May.
- Aase, Knut K., 1993. "Equilibrium in a Reinsurance Syndicate; Existence, Uniqueness and Characterization," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 23(02), pages 185-211, November.
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- Dana, Rose Anne, 1993. "Existence and Uniqueness of Equilibria When Preferences Are Additively Separable," Econometrica, Econometric Society, vol. 61(4), pages 953-957, July.
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