Characterizing the Premium at the Equilinrium of a Reinsurance Market with Short Sale Constraints

G. Bernis and Elyès Jouini ()

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: This paper investigates necessary conditions for an equilibrium to exist on a reinsurance market with short sale constraints. It establishes that, equilibrium, there exists an equivalent probability measure under which the reinsurance premium is the compensator of the jump process describing the risk (even if, a priori, the form of the premium does not allow "à la Girsanov" changes of probability). Besides, the equivalent probability is locally represented by the marginal utility of some insurance companies.

Keywords: INSURANCE; GENERAL EQUILIBRIUM; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C60 C68 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2000
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Related works:
Working Paper: Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints (2001)
Working Paper: Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:2000.46

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