Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate

Knut Aase

No 2008/13, Discussion Papers from Norwegian School of Economics, Department of Business and Management Science

Abstract: In this paper we consider a reinsurance syndicate, assuming that Pareto optimal allocations exist. Under a continuity assumption on preferences, we show that a competitive equilibrium exists and is unique. Our conditions allow for risks that are not bounded, and we show that the most standard models satisfy our set of sufficient conditions, which are thus not too restrictive. Our approach is to transform the analysis from an infinite dimensional to a finite dimensional setting.

Keywords: Existence of equilibrium; uniqueness of equilibrium; Pareto optimality; reinsurance model; syndicate theory; risk tolerance; exchange economy; probability distributions; Walras’ law (search for similar items in EconPapers)
JEL-codes: C62 D51 G22 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2008-08-13
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Related works:
Journal Article: Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate (2010)
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