A General Equilibrium Interpretation of Damage Contingent Securities
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概要
- 論文の詳細を見る
In a 1996 Econometrica paper, Cass, Chichilnisky, and Wu show in an endowment economy that mutual insurance and securities contingent on aggregate states support optimal risk-sharing. We extend their result to a model with production in which risk is endogenous and beliefs about the aggregate state vary across individuals. We use the model to interpret the role of new securities that are contingent on measures of total damage from natural catastrophes. Plausible special cases of the model predict the trade pattern in such securities across diverse regions and predict that such securities will not represent actuarially fair gambles.
- 国際大学の論文
- 1999-10-28
著者
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Todd Richard
The Federal Reserve Bank Of Minneapolis Usa
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Braun R.
Associate Professor, Graduate School of International Management, International University of Japan,
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Wallace Neil
The Pennsylvania State University and The Federal Reserve Bank of Minneapolis, USA
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Wallace Neil
The Pennsylvania State University And The Federal Reserve Bank Of Minneapolis Usa
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Braun R.
Associate Professor Graduate School Of International Management International University Of Japan Ni