Equilibrium in a reinsurance market with short sale constraints

This paper deals with the existence of equilibrium in a dynamic reinsurance market with short sale constraints, driven by a marked point process, as studied in Bernis and Jouini (2001). We use the set of reinsurance treaties as consumption set, which is the positive orthant of some Banach lattice that can be identified to a space $H^q$ of martingales, $q\in [1, +\infty[$. The properness of preferences is a key assumption for us to prove the existence of an equilibrium. We provide a sufficient condition for the preferences to be proper in term of loading factor of the reinsurance premium.Reinsurance market, Short Sale Constraints, General Equilibrium, Marked Point processes, Compensators.

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

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Nash implementation with an infinite-dimensional trade space

International audienceThis paper deals with the problem of implementing the Walras correspondence via Nash equilibria, in exchange economies with infinitely many commodities and finitely many households with possibly non-ordered preferences. We explicitly construct a feasible mechanism enjoying some features, which have natural economic meanings. Under a fairly weak boundary condition, this game fully implements the Walras equilibria. If this condition is not fulfilled, our mechanism nevertheless implements the constrained Walras equilibria

Stochastic Evolution of Distributions - Applications to CDS indices

URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2017.htmlDocuments de travail du Centre d'Economie de la Sorbonne 2017.07 - ISSN : 1955-611XWe use mixture of percentile functions to model credit spread evolution, which allows to obtain a flexible description of credit indices and their components at the same time. We show regularity results in order to extend mixture percentile to the dynamic case. We characterise the stochastic differential equation of the flow of cumulative distribution function and we link it with the ordered list of the components of the credit index. The main application is to introduce a functional version of Bollinger bands. The crossing of bands by the spread is associated with a trading signal. Finally, we show the richness of the signals produced by functional Bollinger bands compared with standard one with a pratical example

Interest Rates Term Structure Models Driven by Hawkes Processes

This paper includes a marked Hawkes process in the original Heath–Jarrow–Morton (HJM) setup and investigates the impact of this assumption on the pricing of the popular vanilla fixed-income derivatives. Our model exhibits a smile that can fit the implied volatility of swaptions for a given key rate (tenor). We harness the log-normality of the model, conditionally with respect to jumps, and derive formulae to evaluate both caplets/floorlets and swaptions. Our model exhibits negative jumps on the zero-coupon (hence positive on the rates). Therefore, its behavior is compatible with the situation where globally low interest rates can suddenly show a cluster of positive jumps in case of tensions on the market. One of the main difficulties when dealing with the HJM model is to keep a framework that is Markovian. In this paper we show how to preserve the relevant features of the Hull and White version, especially the reconstruction formula that provides the zero-coupon bonds in terms of the underlying model factors

Equilibrium in a reinsurance market with short sale constraints

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Supportive effect of body contact care with ylang ylang aromatherapy and mobile intervention team for suicide prevention: A pilot study

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

SIGLEAvailable from INIST (FR), Document Supply Service, under shelf-number : RP 15637 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc