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...

We discuss the "life cycle model" by first introducing a credit market with only biometric risk, and then market risk is introduced via risky securities. This framework enables us to find optimal pension plans and life insurance contracts where the benefits are state dependent. We compare these...

The single auction equilibrium of Kyle's (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle's assumption that the quantity traded by the noise traders is independent of the asset value, we assume that the noise traders are...