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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 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 ...
The long term equilibrium interest rate and risk premiums under uncertainty
(Discussion paper2011:4, Working paper, 2011-02)
Long dated life insurance and pension contracts
(Discussion paper2011:10, Working paper, 2011-05)
The equity premium and the risk free rate in a production economy : a new perspective
(Discussion paper2011:2, Working paper, 2011-02)
Pareto optimal insurance policies in the presence of administrative costs
(Discussion paper2010:7, Working paper, 2010-08)
In his classical article in The American Economic Review, Arthur Raviv (1979) examines Pareto optimal insurance contracts when there are ex-post insurance costs c induced by the indemnity I for loss x. Raviv’s main ...
An anticipative linear filtering equation
(Discussion paper2010:8, Working paper, 2010-08)
Strategic insider trading equilibrium : a filter theory approach
(Discussion paper2010:9, Working paper, 2010-08)
The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity trading, and by having weaker ...