Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk

DOI10.1016/J.INSMATHECO.2015.04.007MaRDI QIDQ495448zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

catastrophe bondcatastrophe fundcatastrophic claimsfluctuation reservenatural catastrophe

Mathematics Subject Classification ID

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)

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

Cites work

• Catastrophe options with stochastic interest rates and compound Poisson losses
• Catastrophe risk management with counterparty risk using alternative instruments
• Equalization reserves for natural catastrophes and shareholder value: a simulation study
• Stochastic time changes in catastrophe option pricing
• The valuation of contingent capital with catastrophe risks

Cited in

(7)

• The influence of non-linear dependencies on the basis risk of industry loss warranties
• Feasibility of long-term interest balance among stakeholders in the natural catastrophe insurance market
• Catastrophe risk management with counterparty risk using alternative instruments
• 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
• Diversification in catastrophe insurance markets
• Reinsurance or securitization: the case of natural catastrophe risk

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