The equilibrium allocation of diffusive and jump risks with heterogeneous agents

DOI10.1016/j.jedc.2004.09.002zbMath1198.91159OpenAlexW2094325119MaRDI QIDQ956451

Stephan Dieckmann, Michael Gallmeyer

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.09.002

zbMATH Keywords

general equilibriumheterogeneous agentsinsurancejump-diffusion modelpure exchange economyexcess uncertainty

Mathematics Subject Classification ID

Special types of economic markets (including Cournot, Bertrand) (91B54) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Heterogeneous agent models (91B69) Actuarial science and mathematical finance (91G99)

Related Items (3)

The market for crash risk ⋮ Equilibrium open interest ⋮ Pricing variance swaps for stochastic volatilities with delay and jumps

Cites Work

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• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
• Martingale Analysis for Assets with Discontinuous Returns

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