How to prove that the deflator $\phi$ of the reinsurance market is unique when working in the equilibrium model?

That is, if we have a pricing function $\pi$, which satisfies:

$$\pi(Y)=E(\phi Y)$$

Then $\phi$ is unique. The pricing function is a function from random variables (claims amounts) to real numbers, and is linear.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.