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Equilibrium in a reinsurance market with short sale constraints

Author

Listed:
  • Guillaume Bernis

    (Banque CPR, 30 Rue Saint Georges 75312 Paris Cedex 09, FRANCE)

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.

Suggested Citation

  • Guillaume Bernis, 2002. "Equilibrium in a reinsurance market with short sale constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(2), pages 295-320.
    • Handle: RePEc:spr:joecth:v:20:y:2002:i:2:p:295-320
    Note: Received: June 15, 2000; revised version: May 17, 2001
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    More about this item

    Keywords

    Reinsurance market; Short Sale Constraints; General Equilibrium; Marked Point processes; Compensators.;
    All these keywords.

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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