Add to ORKGThis paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature of the implied securities needed for Pareto optimality suggests that in such contexts complete markets is a very reasonable assumption
We consider a one period (two time points-) model of efficient risk sharing, when the risk of possib...
We generalize Merton’s framework by incorporating an insurable loss. Mo-tivated by new insurance pro...
This paper studies a dynamic model of a financial market with N strategic agents. Agents receive ran...
This paper looks at the dynamic management of risk in an economy with discrete time consumption and...
This paper extends existing insurance results on the type of insurance contracts needed for insura...
Albert Satorra and the participants to the 30th EGRIE conference for their questions and comments. A...
This article analyzes the optimal deductible level of insurance on durable consump-tion goods with a...
Purpose – The purpose of this study is to introduce an insurance risk-exchange model in the presence...
This paper examines how, in the presence of individual risk, economic efficiency can be achieved wit...
The first part of the thesis analyzes dynamic trading strategies such that at each point in time, th...
This paper studies Pareto-optimal risk-sharing arrangements in a private information economy with ag...
textabstractWe take a dynamic perspective on insurance markets under adverse selection and study a g...
In this paper we present an overview of the standard risk sharing model of insurance. We discuss and...
We develop a continuous-time general-equilibrium model to rationalise the dynamics of insurance pric...
In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present ...
We consider a one period (two time points-) model of efficient risk sharing, when the risk of possib...
We generalize Merton’s framework by incorporating an insurable loss. Mo-tivated by new insurance pro...
This paper studies a dynamic model of a financial market with N strategic agents. Agents receive ran...
This paper looks at the dynamic management of risk in an economy with discrete time consumption and...
This paper extends existing insurance results on the type of insurance contracts needed for insura...
Albert Satorra and the participants to the 30th EGRIE conference for their questions and comments. A...
This article analyzes the optimal deductible level of insurance on durable consump-tion goods with a...
Purpose – The purpose of this study is to introduce an insurance risk-exchange model in the presence...
This paper examines how, in the presence of individual risk, economic efficiency can be achieved wit...
The first part of the thesis analyzes dynamic trading strategies such that at each point in time, th...
This paper studies Pareto-optimal risk-sharing arrangements in a private information economy with ag...
textabstractWe take a dynamic perspective on insurance markets under adverse selection and study a g...
In this paper we present an overview of the standard risk sharing model of insurance. We discuss and...
We develop a continuous-time general-equilibrium model to rationalise the dynamics of insurance pric...
In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present ...
We consider a one period (two time points-) model of efficient risk sharing, when the risk of possib...
We generalize Merton’s framework by incorporating an insurable loss. Mo-tivated by new insurance pro...
This paper studies a dynamic model of a financial market with N strategic agents. Agents receive ran...