Equilibrium in a Reinsurance Market with Short Sale Constraints
This paper deals with the existence of equilibrium in a dynamic reinsurance market with short sale constraints, driven by a marked point process, as studied in Bernis and Jouini (2001). We use the set of reinsurance treaties as consumption set, which is the positive orthant of some Banach lattice th...
Gespeichert in:
| Veröffentlicht in: | Economic theory 2002-09, Vol.20 (2), p.295-320 |
|---|---|
| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 320 |
|---|---|
| container_issue | 2 |
| container_start_page | 295 |
| container_title | Economic theory |
| container_volume | 20 |
| creator | Bernis, Guillaume |
| description | This paper deals with the existence of equilibrium in a dynamic reinsurance market with short sale constraints, driven by a marked point process, as studied in Bernis and Jouini (2001). We use the set of reinsurance treaties as consumption set, which is the positive orthant of some Banach lattice that can be identified to a space$H^{q}$of martingales, q ∈ [1, +∞[. The properness of preferences is a key assumption for us to prove the existence of an equilibrium. We provide a sufficient condition for the preferences to be proper in term of loading factor of the reinsurance premium. |
| doi_str_mv | 10.1007/s001990100213 |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_miscellaneous_39114454</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>25055530</jstor_id><sourcerecordid>25055530</sourcerecordid><originalsourceid>FETCH-LOGICAL-c377t-164eee7460808f4953799b2d741baef602f5ac4051d1bcc19f6c167304c095593</originalsourceid><addsrcrecordid>eNpd0E1LAzEQgOEgCtbq0aMQPHhbnXxtNieRUj-gIlg9L9k0S1O3mzbJUvz3RiqCnmYOD8PwInRO4JoAyJsIQJSCvFPCDtCIcEYL4FIdohEoVhWUCnWMTmJcAYAQZTVCt9Pt4DrXBDesseuxxq_W9XEIujcWP-vwYRPeubTE86UPCc91Z_HE9zEF7foUT9FRq7toz37mGL3fT98mj8Xs5eFpcjcrDJMyFaTk1lrJS6igarkSTCrV0IXkpNG2LYG2QhsOgixIYwxRbWlIKRlwA0oIxcboan93E_x2sDHVaxeN7TrdWz_EmilCOBc8w8t_cOWH0Offakp5TiJ4lVGxRyb4GINt601wax0-awL1d8v6T8vsL_Z-FZMPv5iKXFEwYF8fhm3d</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>224143548</pqid></control><display><type>article</type><title>Equilibrium in a Reinsurance Market with Short Sale Constraints</title><source>Business Source Complete</source><source>Jstor Complete Legacy</source><source>Springer Nature - Complete Springer Journals</source><creator>Bernis, Guillaume</creator><creatorcontrib>Bernis, Guillaume</creatorcontrib><description>This paper deals with the existence of equilibrium in a dynamic reinsurance market with short sale constraints, driven by a marked point process, as studied in Bernis and Jouini (2001). We use the set of reinsurance treaties as consumption set, which is the positive orthant of some Banach lattice that can be identified to a space$H^{q}$of martingales, q ∈ [1, +∞[. The properness of preferences is a key assumption for us to prove the existence of an equilibrium. We provide a sufficient condition for the preferences to be proper in term of loading factor of the reinsurance premium.</description><identifier>ISSN: 0938-2259</identifier><identifier>EISSN: 1432-0479</identifier><identifier>DOI: 10.1007/s001990100213</identifier><language>eng</language><publisher>Heidelberg: Springer-Verlag</publisher><subject>Business structures ; Economic theory ; Economics ; Equilibrium ; Financial risk ; Insurance ; Insurance companies ; Insurance premiums ; Market ; Market equilibrium ; Martingale ; Martingales ; Reinsurance ; Short sales ; Treaties</subject><ispartof>Economic theory, 2002-09, Vol.20 (2), p.295-320</ispartof><rights>Copyright 2002 Springer-Verlag Berlin Heidelberg</rights><rights>Copyright Springer-Verlag New York, Inc. Sep 2002</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c377t-164eee7460808f4953799b2d741baef602f5ac4051d1bcc19f6c167304c095593</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/25055530$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/25055530$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,777,781,800,27905,27906,57998,58231</link.rule.ids></links><search><creatorcontrib>Bernis, Guillaume</creatorcontrib><title>Equilibrium in a Reinsurance Market with Short Sale Constraints</title><title>Economic theory</title><description>This paper deals with the existence of equilibrium in a dynamic reinsurance market with short sale constraints, driven by a marked point process, as studied in Bernis and Jouini (2001). We use the set of reinsurance treaties as consumption set, which is the positive orthant of some Banach lattice that can be identified to a space$H^{q}$of martingales, q ∈ [1, +∞[. The properness of preferences is a key assumption for us to prove the existence of an equilibrium. We provide a sufficient condition for the preferences to be proper in term of loading factor of the reinsurance premium.</description><subject>Business structures</subject><subject>Economic theory</subject><subject>Economics</subject><subject>Equilibrium</subject><subject>Financial risk</subject><subject>Insurance</subject><subject>Insurance companies</subject><subject>Insurance premiums</subject><subject>Market</subject><subject>Market equilibrium</subject><subject>Martingale</subject><subject>Martingales</subject><subject>Reinsurance</subject><subject>Short sales</subject><subject>Treaties</subject><issn>0938-2259</issn><issn>1432-0479</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2002</creationdate><recordtype>article</recordtype><sourceid>8G5</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><sourceid>GNUQQ</sourceid><sourceid>GUQSH</sourceid><sourceid>M2O</sourceid><recordid>eNpd0E1LAzEQgOEgCtbq0aMQPHhbnXxtNieRUj-gIlg9L9k0S1O3mzbJUvz3RiqCnmYOD8PwInRO4JoAyJsIQJSCvFPCDtCIcEYL4FIdohEoVhWUCnWMTmJcAYAQZTVCt9Pt4DrXBDesseuxxq_W9XEIujcWP-vwYRPeubTE86UPCc91Z_HE9zEF7foUT9FRq7toz37mGL3fT98mj8Xs5eFpcjcrDJMyFaTk1lrJS6igarkSTCrV0IXkpNG2LYG2QhsOgixIYwxRbWlIKRlwA0oIxcboan93E_x2sDHVaxeN7TrdWz_EmilCOBc8w8t_cOWH0Offakp5TiJ4lVGxRyb4GINt601wax0-awL1d8v6T8vsL_Z-FZMPv5iKXFEwYF8fhm3d</recordid><startdate>20020901</startdate><enddate>20020901</enddate><creator>Bernis, Guillaume</creator><general>Springer-Verlag</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8AO</scope><scope>8BJ</scope><scope>8FK</scope><scope>8FL</scope><scope>8G5</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FRNLG</scope><scope>F~G</scope><scope>GNUQQ</scope><scope>GUQSH</scope><scope>JBE</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>M2O</scope><scope>MBDVC</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>Q9U</scope></search><sort><creationdate>20020901</creationdate><title>Equilibrium in a Reinsurance Market with Short Sale Constraints</title><author>Bernis, Guillaume</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c377t-164eee7460808f4953799b2d741baef602f5ac4051d1bcc19f6c167304c095593</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2002</creationdate><topic>Business structures</topic><topic>Economic theory</topic><topic>Economics</topic><topic>Equilibrium</topic><topic>Financial risk</topic><topic>Insurance</topic><topic>Insurance companies</topic><topic>Insurance premiums</topic><topic>Market</topic><topic>Market equilibrium</topic><topic>Martingale</topic><topic>Martingales</topic><topic>Reinsurance</topic><topic>Short sales</topic><topic>Treaties</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Bernis, Guillaume</creatorcontrib><collection>CrossRef</collection><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>ProQuest Pharma Collection</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>Research Library (Alumni Edition)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>International Bibliography of the Social Sciences</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Central Student</collection><collection>Research Library Prep</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Global</collection><collection>Research Library</collection><collection>Research Library (Corporate)</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>ProQuest Central Basic</collection><jtitle>Economic theory</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Bernis, Guillaume</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Equilibrium in a Reinsurance Market with Short Sale Constraints</atitle><jtitle>Economic theory</jtitle><date>2002-09-01</date><risdate>2002</risdate><volume>20</volume><issue>2</issue><spage>295</spage><epage>320</epage><pages>295-320</pages><issn>0938-2259</issn><eissn>1432-0479</eissn><abstract>This paper deals with the existence of equilibrium in a dynamic reinsurance market with short sale constraints, driven by a marked point process, as studied in Bernis and Jouini (2001). We use the set of reinsurance treaties as consumption set, which is the positive orthant of some Banach lattice that can be identified to a space$H^{q}$of martingales, q ∈ [1, +∞[. The properness of preferences is a key assumption for us to prove the existence of an equilibrium. We provide a sufficient condition for the preferences to be proper in term of loading factor of the reinsurance premium.</abstract><cop>Heidelberg</cop><pub>Springer-Verlag</pub><doi>10.1007/s001990100213</doi><tpages>26</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0938-2259 |
| ispartof | Economic theory, 2002-09, Vol.20 (2), p.295-320 |
| issn | 0938-2259 1432-0479 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_39114454 |
| source | Business Source Complete; Jstor Complete Legacy; Springer Nature - Complete Springer Journals |
| subjects | Business structures Economic theory Economics Equilibrium Financial risk Insurance Insurance companies Insurance premiums Market Market equilibrium Martingale Martingales Reinsurance Short sales Treaties |
| title | Equilibrium in a Reinsurance Market with Short Sale Constraints |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-20T13%3A10%3A26IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Equilibrium%20in%20a%20Reinsurance%20Market%20with%20Short%20Sale%20Constraints&rft.jtitle=Economic%20theory&rft.au=Bernis,%20Guillaume&rft.date=2002-09-01&rft.volume=20&rft.issue=2&rft.spage=295&rft.epage=320&rft.pages=295-320&rft.issn=0938-2259&rft.eissn=1432-0479&rft_id=info:doi/10.1007/s001990100213&rft_dat=%3Cjstor_proqu%3E25055530%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=224143548&rft_id=info:pmid/&rft_jstor_id=25055530&rfr_iscdi=true |