Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints (Q2761423)
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scientific article; zbMATH DE number 1683532
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints |
scientific article; zbMATH DE number 1683532 |
Statements
2 June 2003
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reinsurance market
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short sale constraints
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equilibrium
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compensator
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marked point process
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Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints (English)
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When a reinsurance market with short sale constraints is at equilibrium, there exists an equivalent probability measure, locally represented by the marginal utility (of some insurance companies), and under which the reinsurance premium equals the compensator of the jump process describing the risk.NEWLINENEWLINEFor the entire collection see [Zbl 0970.00036].
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