Reinsurance or securitization: the case of natural catastrophe risk

DOI10.1016/J.JMATECO.2014.05.007MaRDI QIDQ406263zbMATH OpenOpenAlexFDO

Authors M. A. Habib, Alexandre Ziegler, Rajna Gibson

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

zbMATH Keywords

reinsuranceexchange-traded catastrophe futures and optionsnatural catastrophe risksecuritization

Mathematics Subject Classification ID

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

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

Cites work

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

Cited in

(4)

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

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