This paper investigates necessary conditions for an equilibrium to exist on a reinsurance market with short sale constraints. It establishes that, equilibrium, there exists an equivalent probability measure under which the reinsurance premium is the compensator of the jump process describing the...

We derive from Bernis [2000] a strategic mechanism which fully implements the set of competitive equilibria on a dynamically incomplete reinsurance market VIA Nash equilibria. The mechanism is feasible, and such that the set of coalition proof Nash equilibria coincides with that of Nash...

This paper adapts the methods of Minimax-Hedging developped in Bernis & Giraud [2000] to other models of financial markets, including discontinuous semi-martingale. The measure of the risk is defined as the value of a zero-sum game between the investor and a fictitious player, representing the...

This paper deals with the optimization of proportional reinsurance when the control process is the fraction of new insurance contracts reinsured at each time t. The reserve, when applying the reinsurance policy, appears to be the convolution product of the control function and the process which...

Information Technologies (IT) induce many innovations in service industries. Innovations in IT highlight the peculiarities of innovation in service industries compared to manufactured-goods industries. Because innovations often affect competitiveness, service-providers attach a high importance...