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Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints

Bernis, Guillaume; Jouini, Elyès (2001), Characterizing the premium at the equilibrium of a reinsurance market with short sale constraints, in Lassonde, Marc, Approximation, optimization and mathematical economics, Physica-Verlag : Heidelberg, p. 47-58

Type
Chapitre d'ouvrage
Date
2001
Book title
Approximation, optimization and mathematical economics
Book author
Lassonde, Marc
Publisher
Physica-Verlag
Published in
Heidelberg
ISBN
3-7908-1363-X
Number of pages
393
Pages
47-58
Metadata
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Author(s)
Bernis, Guillaume
Jouini, Elyès
Subjects / Keywords
Reinsurance market; short sales constraints; general equilibrium; marked point processes; compensators
JEL
G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
C62 - Existence and Stability Conditions of Equilibrium
G10 - General
G22 - Insurance; Insurance Companies; Actuarial Studies