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.
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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.
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|Item Type:||Journal Article, refereed, original work|
|Communities & Collections:||03 Faculty of Economics > Department of Banking and Finance|
|Deposited On:||22 Jun 2012 21:45|
|Last Modified:||22 Aug 2014 13:24|
|Series Name:||Working Paper SFI|
|Number of Pages:||55|
|Other Identification Number:||merlin-id:4889|
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