We study utility indifference pricing of claim streams with intertemporalconsumption and power (CRRA) utilities. We derive explicit formulasfor the derivatives of the utility indifference price with respect toclaims and wealth. The simple structure of these formulas is a reflectionof surprising...

We analyze an equilibrium model in which agents exposed to idiosyncraticrisk can purchase insurance policies in addition to financialassets. The price of an insurance contract depends nonlinearly on theclaims and explicitly contains safety loadings, proportional to variance.We consider random...