Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk
DOI10.1016/J.INSMATHECO.2015.04.007zbMATH Open1348.91190OpenAlexW312075224MaRDI QIDQ495448FDOQ495448
Authors: Yang-Che Wu 
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.04.007
Recommendations
- Catastrophe risk management with counterparty risk using alternative instruments
- Risk transference constraints in optimal reinsurance
- Optimal risk transfer and investment policies based upon stochastic differential utilities
- The risk transfer of non-tradable risks under model uncertainty
- Diversification in catastrophe insurance markets
- Inf-convolution of risk measures and optimal risk transfer
- Optimal risk transfer under quantile-based risk measurers
- Risk measure and premium distribution on catastrophe reinsurance
- Efficiency of the smoothed VaR estimator in financial risk management
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)
Cites Work
- Equalization reserves for natural catastrophes and shareholder value: a simulation study
- The valuation of contingent capital with catastrophe risks
- Catastrophe options with stochastic interest rates and compound Poisson losses
- Stochastic time changes in catastrophe option pricing
- Catastrophe risk management with counterparty risk using alternative instruments
Cited In (7)
- Diversification in catastrophe insurance markets
- Feasibility of long-term interest balance among stakeholders in the natural catastrophe insurance market
- Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions
- Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test
- The influence of non-linear dependencies on the basis risk of industry loss warranties
- Reinsurance or securitization: the case of natural catastrophe risk
- Catastrophe risk management with counterparty risk using alternative instruments
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