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Strategic insider trading equilibrium: A filter theory approach
(Journal article; Peer reviewed, 2012)
The continuous-time version of Kyle’s (Econometrica 53(6):1315–1336, 1985 ) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity ...
Existence and uniqueness of equilibrium in a reinsurance syndicate
(Discussion paper2008:13, Working paper, 2008-07)
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 ...
Wealth Effects on Demand for Insurance
(Discussion paper2007:6, Working paper, 2007-01)
A standard result states that under decreasing absolute risk aversion the indifference premium of the insured is a decreasing function of wealth. This has been interpreted to mean that insurance is an inferior good, which ...
The perpetual American put option for jump-diffusions with applications
(Discussion paper2005:12, Working paper, 2005-11)
In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American ...
The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
(Discussion paper2008:5, Working paper, 2008-05)
We compare the Nash bargaining solution in a reinsurance syndicate to the competitive equilibrium allocation, focusing on uncertainty and risk aversion. Restricting attention to proportional reinsurance treaties, we find ...
Optimal Risk-Sharing and Deductables in Insurance
(Discussion paper2006:24, Working paper, 2006)
Risk-sharing in insurance is analyzed, with a view towards explaining the prevalence of deductibles. First we introduce, in a modern setting, the main concepts of the theory of risk-sharing in a group of agents. This theory ...
Equilibrium in marine mutual insurance markets with convex operating costs
(Discussion paper2005:10, Working paper, 2006-02)
The paper analyzes the possibility of reaching an equilibrium in a market of marine mutual insurance syndicates, called Protection and Indemnity Clubs, or P&I Clubs for short, displaying economies of scale. Our analysis ...
The long term equilibrium interest rate and risk premiums under uncertainty
(Discussion paper2011:4, Working paper, 2011-02)
Jump dynamics : the equity premium and the risk-free rate puzzles
(Discussion paper2004:12, Working paper, 2004-06)
The paper develops a consumption based equilibrium model, focusing on the risk premium and the risk-free interest rate. We derive testable expressions for these quantities, and confront these with sample estimates for the ...
What puzzles? : new insights in asset pricing
(Discussion paper;2012:13, Working paper, 2012-11)
Motivated by the problems of the conventional model in rationalizing izing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in continuous time. In a representative- agent ...