Paper #365
- Títol:
- Insurance with frequent trading
- Autor:
- José Penalva
- Data:
- Octubre 1997
- Resum:
- This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature of the implied securities needed for Pareto optimality suggests that in such contexts complete markets is a very reasonable assumption.
- Paraules clau:
- Risk-sharing, insurance, hedging, point-processes, complete markets, general equilibrium
- Codis JEL:
- D81, D99, G11
- Àrea de Recerca:
- Finances i Comptabilitat
- Publicat a:
- Review of Economic Dynamics 4 (2001), pp. 790-822
Amb el títol:
Insurance with Frequent Trading: A Dynamic Analysis of Efficient Insurance Markets
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