Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida

DOI10.2143/AST.38.1.2030401MaRDI QIDQ3395758zbMATH OpenOpenAlexFDO

Authors Andreas Milidonis, Martin F. Grace

Publication date 13 September 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.38.1.2030401

zbMATH Keywords

extreme value theorymixture modelinsurancereinsurancecatastrophe financing and pricingtax-deferred loss reserve

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Recommendations

• Excess-of-loss reinsurance under taxes and fixed costs
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• Reinsurance or securitization: the case of natural catastrophe risk

Cites work

• Equilibrium in a Reinsurance Market

Cited in

(5)

• Rules rather than discretion: Lessons from hurricane Katrina
• Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• Pricing catastrophe swaps: a contingent claims approach
• Mortality regimes and pricing

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