Reinsurance or securitization: the case of natural catastrophe risk

DOI10.1016/J.JMATECO.2014.05.007zbMATH Open1305.91167OpenAlexW1966953096MaRDI QIDQ406263FDOQ406263

Rajna Gibson, M. A. Habib, Alexandre Ziegler

Publication date: 8 September 2014

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:87711

Recommendations

• Reinsurance versus securitization of catastrophe risk
• Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints
• Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk
• Valuation of catastrophe reinsurance with catastrophe bonds
• Market price of insurance risk implied by catastrophe derivatives

zbMATH Keywords

reinsuranceexchange-traded catastrophe futures and optionsnatural catastrophe risksecuritization

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A Theory of Auctions and Competitive Bidding
• Financial Intermediation and Delegated Monitoring
• Continuous Auctions and Insider Trading
• Hedging and vertical integration in electricity markets
• Reinsurance versus securitization of catastrophe risk
• Information Revelation and Market Incompleteness
• A Liquidity-based Model of Security Design

Cited In (3)

• Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida
• Reinsurance versus securitization of catastrophe risk
• Equalization reserves for natural catastrophes and shareholder value: a simulation study

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