• 1 Introduction
  • 2 Setup
  • 3 Hedgeable filtration, hedgeable claims and the size of unhedgeableidiosyncratic risk
  • 4 Market consistent pricing of insurance liabilities
  • 5 The problem of individual optimal asset-insurance allocation
  • 6 The law of large numbers and CRRA utilities
  • 7 Optimal asset-insurance allocation for small idiosyncratic risk
  • 8 Equilibria for weak uncertainty. Expansion in the size of uncer-tainty
  • 9 Heterogeneous classes
  • 10 Conditionally independent idiosyncratic shocks
  • 11 Calibration with i.i.d. loadings and Markov endowment
  • 12 Conclusions
  • Appendices:
  • A The derivatives of the optimal consumption and claims streams
  • B Expansion of the optimal consumption stream for small uncer-tainty
  • C Expansion of the SDF for geometric random walks
  • References