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Now showing items 1-10 of 45

#### 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 ...

#### Area yield futures and options : risk management and hedging

(Discussion paper2001:5, Working paper, 2001)

It is shown how a farmer can lock in a certain revenue by a combined trade in futures price and futures yield contracts, abstracting from production
costs. An economic model is proposed for a combined price futures and ...