Essays on risk exchanges within a collective

Jaroslav Pazdera

Research output: ThesisDoctoral ThesisScientific

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Abstract

This thesis considers a group of investors who have joined their endowments and formed a collective. The collective is assumed to construct an internal (intra-group) market where its members can exchange assets (trade) under conditions that can be different to those that prevail outside of the collective. Two chapters of this thesis focus on the intra-group trades that are both financially fair and Pareto efficient. There are formulated conditions under which there exists a unique set of financially fair and Pareto efficient intra-group trades (redistribution). The results of these chapters were published in Journal of Mathematical Economics and in Insurance: Mathematics and Economics. The last chapter considers a collective in a setting where there are bid-ask spreads on an extra-group market and the collective is free to use its intra-group market. In this setting, we define an equilibrium similar to the competitive equilibria, and we investigate under which bid-ask spreads is the intra-group market superuous or, to the contrary, when the intra-group market can accommodate all equilibrium trades. The chapter also proposes a measure of tendency to trade internally” and offers a link with the term “group heterogeneity”.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Schumacher, Hans, Promotor
  • Werker, Bas, Promotor
Award date12 Sep 2018
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 566 9
Publication statusPublished - 2018

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Exchange risk
Pareto
Bid/ask spread
Competitive equilibrium
Investors
Insurance mathematics
Mathematical economics
Endowments
Economics
Assets
Redistribution

Cite this

Pazdera, J. (2018). Essays on risk exchanges within a collective. Tilburg: CentER, Center for Economic Research.
Pazdera, Jaroslav. / Essays on risk exchanges within a collective. Tilburg : CentER, Center for Economic Research, 2018. 114 p.
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abstract = "This thesis considers a group of investors who have joined their endowments and formed a collective. The collective is assumed to construct an internal (intra-group) market where its members can exchange assets (trade) under conditions that can be different to those that prevail outside of the collective. Two chapters of this thesis focus on the intra-group trades that are both financially fair and Pareto efficient. There are formulated conditions under which there exists a unique set of financially fair and Pareto efficient intra-group trades (redistribution). The results of these chapters were published in Journal of Mathematical Economics and in Insurance: Mathematics and Economics. The last chapter considers a collective in a setting where there are bid-ask spreads on an extra-group market and the collective is free to use its intra-group market. In this setting, we define an equilibrium similar to the competitive equilibria, and we investigate under which bid-ask spreads is the intra-group market superuous or, to the contrary, when the intra-group market can accommodate all equilibrium trades. The chapter also proposes a measure of tendency to trade internally” and offers a link with the term “group heterogeneity”.",
author = "Jaroslav Pazdera",
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year = "2018",
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Pazdera, J 2018, 'Essays on risk exchanges within a collective', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on risk exchanges within a collective. / Pazdera, Jaroslav.

Tilburg : CentER, Center for Economic Research, 2018. 114 p.

Research output: ThesisDoctoral ThesisScientific

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AU - Pazdera, Jaroslav

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AB - This thesis considers a group of investors who have joined their endowments and formed a collective. The collective is assumed to construct an internal (intra-group) market where its members can exchange assets (trade) under conditions that can be different to those that prevail outside of the collective. Two chapters of this thesis focus on the intra-group trades that are both financially fair and Pareto efficient. There are formulated conditions under which there exists a unique set of financially fair and Pareto efficient intra-group trades (redistribution). The results of these chapters were published in Journal of Mathematical Economics and in Insurance: Mathematics and Economics. The last chapter considers a collective in a setting where there are bid-ask spreads on an extra-group market and the collective is free to use its intra-group market. In this setting, we define an equilibrium similar to the competitive equilibria, and we investigate under which bid-ask spreads is the intra-group market superuous or, to the contrary, when the intra-group market can accommodate all equilibrium trades. The chapter also proposes a measure of tendency to trade internally” and offers a link with the term “group heterogeneity”.

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T3 - CentER Dissertation Series

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Pazdera J. Essays on risk exchanges within a collective. Tilburg: CentER, Center for Economic Research, 2018. 114 p. (CentER Dissertation Series).