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Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
Published online by Cambridge University Press: 09 August 2013
Abstract
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 allow for risks that are not bounded, and we show that the most standard models satisfy our set of sufficient conditions, which are thus not restrictive. Our approach is to transform the analysis from an infinite dimensional to a finite dimensional setting.
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- Research Article
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- Copyright © International Actuarial Association 2010