Quick Search:

uzh logo
Browse by:
bullet
bullet
bullet
bullet

Zurich Open Repository and Archive 

Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-62390

Gibson, Rajna; Habib, Michel; Ziegler, Alexandre (2014). Reinsurance or Securitization: The Case of Natural Catastrophe Risk. Journal of Mathematical Economics, 53:79-100.

[img]
Preview
Accepted Version
PDF
306kB

Abstract

We investigate the suitability of securitization as an alternative to reinsurance for the purpose of transferring natural catastrophe risk. We characterize the conditions under which one or the other form of risk transfer dominates using a setting in which reinsurers and traders in financial markets produce costly information about catastrophes. Such information is useful to insurers: along with the information produced by insurers themselves, it reduces insurers’ costly capital requirements. However, traderswho seek to benefit from trading in financial markets may produce ‘too much’ information,thereby making risk transfer through securitization prohibitively costly.

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
DDC:330 Economics
Language:English
Date:2014
Deposited On:22 Jun 2012 21:45
Last Modified:22 Aug 2014 13:24
Publisher:Elsevier
Series Name:Working Paper SFI
Number of Pages:55
ISSN:0304-4068
Publisher DOI:10.1016/j.jmateco.2014.05.007
Other Identification Number:merlin-id:4889
Citations:Web of Science®
Google Scholar™

Users (please log in): suggest update or correction for this item

Repository Staff Only: item control page