Equilibrium in a reinsurance market with short sale constraints

Guillaume Bernis
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Guillaume Bernis: Banque CPR, 30 Rue Saint Georges 75312 Paris Cedex 09, FRANCE

Economic Theory, 2002, vol. 20, issue 2, 295-320

Abstract: This paper deals with the existence of equilibrium in a dynamic reinsurance market with short sale constraints, driven by a marked point process, as studied in Bernis and Jouini (2001). We use the set of reinsurance treaties as consumption set, which is the positive orthant of some Banach lattice that can be identified to a space $H^q$ of martingales, $q\in [1, +\infty[$. The properness of preferences is a key assumption for us to prove the existence of an equilibrium. We provide a sufficient condition for the preferences to be proper in term of loading factor of the reinsurance premium.

Keywords: Reinsurance market; Short Sale Constraints; General Equilibrium; Marked Point processes; Compensators. (search for similar items in EconPapers)
JEL-codes: D50 G22 (search for similar items in EconPapers)
Date: 2002-02-26
Note: Received: June 15, 2000; revised version: May 17, 2001
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