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Value and Prices in a Reinsurance Market*

Published online by Cambridge University Press:  29 August 2014

Flavio Pressacco
Flavio Pressacco*
Affiliation:
Istituto di Matematica Finanziaria, Università di Trieste. Trieste, Italy
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Abstract

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This paper concerns the Borch model of a reinsurance market seen as a model of an economy under uncertainty.

In a market of this type the goods traded are unit coverings contingent to a particular state of nature (n-tuple of claims).

Our idea is to regard the probability of a state of nature as a sort of intrinsic value of the related contingent covering. From this point of view we examine the role of the reinsurance market in modifying values in market equilibrium prices and other questions, related to this classical economic problem, in the particular case of a quadratic utility function for all companies.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 10 , Issue 3 , December 1979 , pp. 263 - 273
Copyright
Copyright © International Actuarial Association 1979

Footnotes

*

An earlier version of this paper was presented at the 14th ASTIN Colloquium, Taormina, October 1978.

References

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