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|
|Date of revision:|
|Contact details of provider:|| Postal: NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway|
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- Mas-Colell, Andreu & Zame, William R., 1991. "Equilibrium theory in infinite dimensional spaces," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 34, pages 1835-1898 Elsevier.
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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.
- Araujo, A. & Monteiro, P. K., 1989. "Equilibrium without uniform conditions," Journal of Economic Theory, Elsevier, vol. 48(2), pages 416-427, August.
- 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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