Insurance with frequent trading: A dynamic analysis of efficient insurance markets

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• dc.contributor.author Penalva, José S.ca
• dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2017-07-26T10:50:36Z
• dc.date.available 2017-07-26T10:50:36Z
• dc.date.issued 2000-11-01
• dc.date.modified 2017-07-23T02:05:15Z
• dc.description.abstract This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency to a dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It also eliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying risk process. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.
• dc.format.mimetype application/pdfca
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=460
• dc.identifier.citation Review of Economic Dynamics 4 (2001), pp. 790-822
• dc.identifier.uri http://hdl.handle.net/10230/1115
• dc.language.iso eng
• dc.relation.ispartofseries Economics and Business Working Papers Series; 460
• dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
• dc.subject.keyword risk sharing
• dc.subject.keyword insurance
• dc.subject.keyword complete markets
• dc.subject.keyword insurable risks
• dc.subject.keyword Finance and Accounting
• dc.title Insurance with frequent trading: A dynamic analysis of efficient insurance marketsca
• dc.type info:eu-repo/semantics/workingPaper