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IUJ: Research outputs: Working Paper
Working Paper

No EMS-1999-01
Title A General Equilibrium Interpretation of Damage Contingent Securities
Author R. Anton Braun
Richard M. Todd
Neil Wallace
Year 1999
AbstractText 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.
Revised version published in

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