In this paper we present an economic equilibrium analysis of a reinsurance market. The continuous-time model contains the principal components of uncertainty; about the time instants at which accidents take place, and about claim sizes given that accidents have occurred.We give sufficient...

This paper analyses asset prices, the term structure of the interest rate, the spot price of risk and derives the equilibrium excess returns on risky assets in an exchange economy where the underlying exogenous uncertainty is a pure multidimensional jump process. We derive closed-form solutions...