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

Ziegler, Alexandre; Gibson, Rajna; Habib, Michel (2011). Reinsurance or Securitization: The Case of Natural Catastrophe Risk. Working Paper SFI, University of Zurich.

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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:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
DDC:330 Economics
Language:English
Date:2011
Deposited On:22 Jun 2012 23:45
Last Modified:09 Jul 2012 07:25
Series Name:Working Paper SFI
Number of Pages:55
Official URL:http://www.bf.uzh.ch/cms/employees/michel-antoine.habib_165_624.html?type=publications&emp_id=5
Other Identification Number:merlin-id:4889

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