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Insurance with frequent trading: A dynamic analysis of efficient insurance markets
Penalva, José
Universitat Pompeu Fabra. Departament d'Economia i Empresa
This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency toa dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It alsoeliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying riskprocess. 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.
15-09-2005
Finance and Accounting
risk sharing
insurance
complete markets
insurable risks
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