This paper develops an incomplete equilibrium model with multi-agents' different risk attitudes and heterogeneous income/payout profiles. Particularly, we apply its concrete and computationally tractable model to reinsurance derivatives pricing and life-cycle investment, which are important for insurance and asset management companies in practice. In numerical experiments, we explicitly obtain endogenously determined expected returns of the risky asset in equilibrium, agents' specific reinsurance prices with their stochastic discount factors (SDF) and optimal life-cycle trading strategies. Moreover, we investigate how each agent's degree of risk aversion and income/payout profile, and correlations between an insurance or economic factor and the risky asset price affect reinsurance claims pricing and optimal portfolios in life-cycle investment.

本文开发了一个具有多主体不同风险态度和异质收入/支出状况的不完全均衡模型。特别是，我们将其具体且易于计算的模型应用于再保险衍生品定价和生命周期投资，这对于保险和资产管理公司的实践非常重要。在数值实验中，我们明确获得了均衡状态下风险资产的内生确定预期收益、代理人的特定再保险价格及其随机贴现因子（SDF）和最优生命周期交易策略。此外，我们还研究了每个代理人的风险规避程度和收入/支出状况，以及保险或经济因素与风险资产价格之间的相关性如何影响再保险索赔定价和生命周期投资中的最佳投资组合。