Equilibrium in a Reinsurance Market: Introducing Taxes

Pierre-François Koehl and Jean Rochet
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Pierre-François Koehl: GREMAQ, Université Toulouse I, place Anatole France, 31042 Toulouse cédex, France

The Geneva Risk and Insurance Review, 1994, vol. 19, issue 2, 117 pages

Abstract: We introduce profit taxation in Borch's [1962] model of a competitive insurance market. We analyze the impact of taxation on equilibrium prices and characterize the cases where optimal risk sharing is preserved. In the case of Constant Relative Risk Aversion (CRRA) utility functions, this abstract characterization is translated into simple conditions involving the solvency ratios of the companies. The case of Constant Absolute Risk Aversion (CARA) utility functions is also studied. The Geneva Papers on Risk and Insurance Theory (1994) 19, 101–117. doi:10.1007/BF01371687

Date: 1994
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Working Paper: Equilibrium in Reinsurance Market: Introducing Taxes (1992)
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