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Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints

Author

Listed:
  • Elyès Jouini

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Guillaume Bernis

    (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

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.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Elyès Jouini & Guillaume Bernis, 2001. "Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints," Post-Print halshs-00176407, HAL.
    • Handle: RePEc:hal:journl:halshs-00176407
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    Keywords

    short sale constraints; reinsurance market;

    JEL classification:

    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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