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Títol:
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Insurance with frequent trading: A dynamic analysis of efficient insurance markets
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Autor/a:
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Penalva, José S.
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Altres autors:
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Universitat Pompeu Fabra. Departament d'Economia i Empresa |
Abstract:
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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. |
Matèries:
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-risk sharing -insurance -complete markets -insurable risks -Finance and Accounting |
Drets:
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http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
Tipus de document:
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Document de treball |
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