Equilibrium in a reinsurance market with short sale constraints
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.
scientific article; zbMATH DE number 1887569