Insurance with frequent trading
This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature of the implied securities needed for Pareto optimality suggests that in such contexts complete markets is a very reasonable assumption.
When requesting a correction, please mention this item's handle: RePEc:upf:upfgen:365. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.