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Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate

Published online by Cambridge University Press:  09 August 2013

Knut K. Aase*
Affiliation:
Norwegian School of Economics and Business Administration, 5045 Bergen, Norway, and Centre of Mathematics for Applications (CMA), University of Oslo, Norway, E-Mail: [email protected]

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.

Type
Research Article
Copyright
Copyright © International Actuarial Association 2010

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