Equilibrium with monoline and multiline structures

Standard

Equilibrium with monoline and multiline structures. / Ibragimov, Rustam; Jaffee, Dwight; Walden, Johan.

In: Review of Finance, Vol. 22, No. 2, 01.03.2018, p. 595-632.

Research output: Contribution to journal › Article › peer-review

Author

Ibragimov, Rustam ; Jaffee, Dwight ; Walden, Johan. / Equilibrium with monoline and multiline structures. In: Review of Finance. 2018 ; Vol. 22, No. 2. pp. 595-632.

BibTeX

@article{d1cf5a9dbbd04a3487e62ddc05fe8632,

title = "Equilibrium with monoline and multiline structures",

abstract = "We study a competitive market for risk-sharing, in which risk-tolerant providers of risk protection, who face frictional costs in holding capital, offer coverage over a range of risk classes to risk-averse agents. We distinguish monoline and multiline industry structures and characterize when each structure is optimal. Markets for which the risks are limited in number, asymmetric or correlated will be served by monoline structures, whereas markets characterized by a large number of essentially independent risks will be served by many multiline firms. Our results are consistent with observed structures within insurance, and also have general implications for the financial services industry.",

keywords = "Diversification, Financial services, Insurance, Risk-sharing",

author = "Rustam Ibragimov and Dwight Jaffee and Johan Walden",

note = "Publisher Copyright: {\textcopyright} The Authors 2017.",

year = "2018",

month = mar,

day = "1",

doi = "10.1093/rof/rfw073",

language = "English",

volume = "22",

pages = "595--632",

journal = "Review of Finance",

issn = "1572-3097",

publisher = "Oxford University Press",

number = "2",

}

RIS

TY - JOUR

T1 - Equilibrium with monoline and multiline structures

AU - Ibragimov, Rustam

AU - Jaffee, Dwight

AU - Walden, Johan

N1 - Publisher Copyright: © The Authors 2017.

PY - 2018/3/1

Y1 - 2018/3/1

N2 - We study a competitive market for risk-sharing, in which risk-tolerant providers of risk protection, who face frictional costs in holding capital, offer coverage over a range of risk classes to risk-averse agents. We distinguish monoline and multiline industry structures and characterize when each structure is optimal. Markets for which the risks are limited in number, asymmetric or correlated will be served by monoline structures, whereas markets characterized by a large number of essentially independent risks will be served by many multiline firms. Our results are consistent with observed structures within insurance, and also have general implications for the financial services industry.

AB - We study a competitive market for risk-sharing, in which risk-tolerant providers of risk protection, who face frictional costs in holding capital, offer coverage over a range of risk classes to risk-averse agents. We distinguish monoline and multiline industry structures and characterize when each structure is optimal. Markets for which the risks are limited in number, asymmetric or correlated will be served by monoline structures, whereas markets characterized by a large number of essentially independent risks will be served by many multiline firms. Our results are consistent with observed structures within insurance, and also have general implications for the financial services industry.

KW - Diversification

KW - Financial services

KW - Insurance

KW - Risk-sharing

UR - http://www.scopus.com/inward/record.url?scp=85050827164&partnerID=8YFLogxK

U2 - 10.1093/rof/rfw073

DO - 10.1093/rof/rfw073

M3 - Article

AN - SCOPUS:85050827164

VL - 22

SP - 595

EP - 632

JO - Review of Finance

JF - Review of Finance

SN - 1572-3097

IS - 2

ER -

ID: 94066681