Metadata only
Datum
2016-08Typ
- Journal Article
ETH Bibliographie
no
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Abstract
We analyze derivative asset trading in an economy in which agents face both aggregate and uninsurable idiosyncratic risks. Insurance markets are incomplete for idiosyncratic risk and, possibly, for aggregate risk as well. However, agents can exchange insurance against aggregate risk through derivative assets such as options. We present a tractable framework, which allows us to characterize the extent of risk sharing in this environment. We show that incomplete insurance markets can explain some properties of the volume of traded derivative assets, which are difficult to explain in complete market economies. Mehr anzeigen
Publikationsstatus
publishedExterne Links
Zeitschrift / Serie
Economic TheoryBand
Seiten / Artikelnummer
Verlag
SpringerThema
Incomplete markets; Heterogeneous agent models; Imperfect risk sharing; Derivative assetsOrganisationseinheit
03877 - Bommier, Antoine / Bommier, Antoine
ETH Bibliographie
no
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