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The equilibrium allocation of diffusive and jump risks with heterogeneous agents

机译：异构代理对扩散和跳跃风险的均衡分配

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摘要

We study a two-agent pure exchange equilibrium subject to both nondiversifiable diffusive and jump risks. Agents can trade in a financial market consisting of a stock market, a money market, and an insurance market for jump risk. Heterogeneity is introduced through different levels of relative risk aversion. In the framework of standard expected utility we find the surprising result that the less risk averse agent purchases insurance contracts against jump risk from the more risk averse agent. This equilibrium allocation is linked to the non-linear wealth sharing rule in such an economy, and preserves the wealth effects studied by Dumas [Rev. Financ. Stud. 2 (1989) 157] in the case of pure diffusive risk. Since the benchmark economy with homogeneous agents generates no excess uncertainty in the stock market, we study the effect on excess volatility and excess jump size solely due to different levels of relative risk aversion. We observe 3% excess uncertainty in jump sizes for a reasonable specification of economic fundamentals.
机译：我们研究了同时具有不可分散的扩散和跳跃风险的两主体纯交换均衡。代理商可以在由股票市场，货币市场和保险市场组成的金融市场中进行跳跃风险交易。异质性是通过不同程度的相对风险规避引入的。在标准预期效用的框架中，我们发现令人惊讶的结果，即风险较小的厌恶代理从较高风险的厌恶代理购买了针对跳跃风险的保险合同。这种均衡分配与这种经济中的非线性财富分配规则有关，并保留了杜马斯研究的财富效应。 Financ。梭哈2（1989）157]。由于使用同质制剂的基准经济在股票市场上不会产生过多的不确定性，因此我们仅由于相对风险规避程度不同而研究了对过度波动和过度跳高的影响。对于合理的经济基本面指标，我们观察到跳高幅度存在3％的不确定性。

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