Equilibrium in a reinsurance market with short sale constraints |
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Authors: | Guillaume Bernis |
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Affiliation: | (1) Banque CPR, 30 Rue Saint Georges 75312 Paris Cedex 09, FRANCE , FR;(2) CERMSEM, Universit'e Paris 1, 106-112 Bd de l'H^opital, 75647 Paris cedex 13, FRANCE (e-mail: gbernis@univ-paris1.fr) , FR |
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Abstract: | Summary. 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 of martingales, . 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. Received: June 15, 2000; revised version: May 17, 2001 |
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Keywords: | and Phrases: Reinsurance market Short Sale Constraints General Equilibrium Marked Point processes Compensators. |
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