Gibson, Rajna; Habib, Michel A.; Ziegler, Alexandre - In: Journal of Mathematical Economics 53 (2014) C, pp. 79-100
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...