Scandinavian Working Papers in Business Administration
Discussion Papers,
Norwegian School of Economics, Department of Business and Management Science
No 2008/13: Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate
Knut K. Aase ()
Additional contact information
Knut K. Aase: Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration, Postal: NHH , Department of Finance and Management Science, Helleveien 30, N-5045 Bergen, Norway
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
24 pages, August 13, 2008
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