This paper provides an exhaustive and explici[ description of the set of Nash equilibría in the n-player, first príce sealed bid, all pay auction under complete information.Both the cases of homogeneous and heterogeneous valuations are analyzed. For the common values case with more than two players we show there is a unique symmetric equilibrium and a continuum of asymmetric equilibria. All of the equilibria, however, are payoff and revenue equivalent. Wíth heterogeneous valua-Hence, while the equilibria are payoff equivalent, they are not revenue equivalent. The continua of asymmetric equilíbria were missed by both the theoretical literature, and the applied literature on e.g. rent seekíng and rent díssipation.

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. ABSTRACT. Suppose X 1 , X 2 , . . . are independent subexponential random variables with partial sums S n . We show that if the pairwise sums of the X i 's are subexponential, then S n is subexponential and Terms of use: Documents inThe result is applied to give conditions under which P (Asymptotic tail probabilities for bivariate linear combinations of subexponential random variables are given. These results are applied to explain the joint movements of the stocks of reinsurers. Portfolio investment and retrocession practices in the reinsurance industry, for reasons of diversification, exposes different reinsurers to the same risks on both sides of their balance sheets. Assuming, in line with the industry practice that the risk drivers follow subexponential distributions, we derive (under mild conditions) when the reinsurer's equity returns are asymptotically dependent, exposing the industry to systemic risk.

Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavy tail feature of the asset return distributions. Then we show that optimal portfolio sizes are smaller than traditional correlation based diversification analysis suggests. * We would like to thank Jay M. Chung for introducing us to the paper by Statman (1987).