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- W3023572039 abstract "This paper investigates necessary conditions for an equilibrium to exist on reinsurance market with short sale constraints. It establishes that, equilibrium, there exists an equivalent probability measure under which the reinsurance premium is the compensator of the jump process describing the risk (even if, priori, the form of the premium does not allow a la Girsanov changes of probability). Besides, the equivalent probability is locally represented by the marginal utility of some insurance companies." @default.
- W3023572039 created "2020-05-13" @default.
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- W3023572039 date "2000-01-01" @default.
- W3023572039 modified "2023-10-09" @default.
- W3023572039 title "Characterizing the Premium at the Equilinrium of a Reinsurance Market with Short Sale Constraints" @default.
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