English, Article, Journal or magazine article edition: Insurance with Frequent Trading José Penalva

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Bookmark: http://trove.nla.gov.au/version/155455
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Insurance with Frequent Trading
Author
  • José Penalva
Physical Description
  • preprint
Notes
  • This 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.
  • Risk-sharing, insurance, hedging, point-processes, complete markets, general equilibrium
  • RePEc:upf:upfgen:365
Language
  • English
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