We study the interaction between insurance and capital markets within single but general framework. We show that capital markets greatly enhance the risk sharing capacity of insurance markets and the scope of risks that are insurable because efficiency does not depend on the number of agents at...

Assuming insurable events are generated by a marked point process, this article develops a framework in which insurance markets are dynamically complete in the sense of Kreps (1982). Insurance contracts can then be priced using the techniques of intertemporal finance: the equlibrium price of an...

This paper studies the intraday relationship between ultra-fast machine-driven activity (UFA) and market quality in automated equity markets. We find that higher UFA is associated with lower intraday market quality (greater quoted and effective spreads and lower depth). This effect is...

The 1994 Northridge earthquake sent ripples to insurance companies everywhere. This was one in a series of natural disasters such as Hurricane Andrew which together with the problems in Lloyd's of London have insurance companies running for cover. This paper presents a calibration of the...

This paper extends previous results on optimal insurance trading in the presence of a stock market that allows continuous asset trading and substantial personal heterogeneity, and applies those results in a context of asymmetric information with references to the role of genetic testing in...

Short selling activity is viewed by some as a toxic activity that distorts prices in securities' markets, while others consider it an integral and necessary activity for liquidity provision and price discovery. For the most part regulators allow short selling activity to take place but at times...

We characterise the stochastic interaction of independent learning algorithms as a deterministic system of ordinary differential equations and use it to understand the long-term behaviour of the algorithms in a repeated game. In a symmetric bimatrix repeated game, we prove that the dynamics of...

In this paper we analyze trading behaviour in an economy with substantial individual heterogeneity and individual agent- specific endowment risks. We establish that markets can be made effectively complete with a very small number of assets. In particular, if full insurance contracts are...

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency to a dynamic setting. I extend the notion of insurable risks and define them in terms of the actuarial properties of the underlying risk process (independently of preferences...