Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate

24 Pages Posted: 13 Aug 2008

See all articles by Knut K. Aase

Knut K. Aase

Norwegian School of Economics (NHH) - Department of Business and Management Science

Date Written: July 2008

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 too restrictive. Our approach is to transform the analysis from an infinite dimensional to a finite dimensional setting.

Keywords: Existence of equilibrium, uniqueness of equilibrium, Pareto optimality, reinsurance model, syndicate theory, risk tolerance, exchange economy, probability distributions, Walras' law

Suggested Citation

Aase, Knut K., Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate (July 2008). NHH Dept. of Finance & Management Science Discussion Paper No. 2008/13. Available at SSRN: https://ssrn.com/abstract=1222722 or http://dx.doi.org/10.2139/ssrn.1222722

Knut K. Aase (Contact Author)

Norwegian School of Economics (NHH) - Department of Business and Management Science ( email )

Helleveien 30
Bergen, NO-5045
Norway

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