Equilibrium in a reinsurance market with short sale constraints
type: Item
instance of: scholarly article
title: Equilibrium in a reinsurance market with short sale constraints
zbMATH Open document ID: 1044.91017
author: Guillaume Bernis
published in: Economic Theory
publication date: 2003-03-25T00:00:00Z
review text: The paper considers a general equilibrium model over time with reinsurance markets. It is a continuous time model and the key distinguishing feature is that it allows for short-sales constraints on reinsurance strategies. A (dynamic) reinsurance strategy is some predictable stochastic process indexed on time and the mark space which represents the set of possible sizes of accidents. The set of reinsurance treaties are considered as a commodity space, the insurance companies have a utility function over terminal wealth and can exchange risk through reinsurance, starting from an initial parcelling of the risk over the different agents (insurance companies), aiming to maximize their expected utility of terminal wealth subject to some budget constraint. In such an exchange economy over time, where the consumers are the insurance companies, the paper seeks to provide sufficient conditions on the parameters of the problem - the insured risk and the premium - which ensure the existence of an equilibrium.
Mathematics Subject Classification ID: 91B26
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 1887569
zbMATH Keywords: Reinsurance market
zbMATH Keywords: Short Sale Constraints
zbMATH Keywords: General Equilibrium
zbMATH Keywords: Marked Point processes
zbMATH Keywords: Compensators
MaRDI profile type: Publication
full work available at URL: s001990100213
OpenAlex ID: W2041217228
DOI: 10.1007/S001990100213
description: scientific article; zbMATH DE number 1887569