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On the Pricing of Intermediated Risks : Theory and Application to Catastrophe Reinsurance
Froot, Kenneth - 2010
We model the equilibrium price and quantity of risk transfer between firms and financial intermediaries. Value-maximizing firms have downward sloping demands to cede risk, while intermediaries, who assume risk, provide less-than-fully-elastic supply. We show that equilibrium required returns...
Persistent link: https://www.econbiz.de/10013135141
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The Market for Catastrophe Risk : A Clinical Examination
Froot, Kenneth - 2011
with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other …, especially after cat events. We then examine clinical evidence to understand why the theory fails. Specifically, we examine … hints as to why the theory fails. We explore these hints in eight theoretical explanations and find the most compelling to …
Persistent link: https://www.econbiz.de/10013117926
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The Market for Catastrophe Risk : A Clinical Examination
Froot, Kenneth - 2011
with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other …, especially after cat events. We then examine clinical evidence to understand why the theory fails. Specifically, we examine … hints as to why the theory fails. We explore these hints in eight theoretical explanations and find the most compelling to …
Persistent link: https://www.econbiz.de/10013124399
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Managing Catastrophic Risk
Kunreuther, Howard - 2012
A principal reason that losses from catastrophic risks have been increasing over time is that more individuals and firms are locating in harm's way while not taking appropriate protective measures. Several behavioural biases lead decision-makers not to invest in adaptation measures until after...
Persistent link: https://www.econbiz.de/10013104996
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The Market for Catastrophe Risk : a Clinical Examination
Froot, Kenneth - 2012
demonstrate that both features deviate from what theory would predict, yet are characteristic of many transactions, not simply …
Persistent link: https://www.econbiz.de/10013105897
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Deriving Risk Adjustment Payment Weights to Maximize Efficiency of Health Insurance Markets
Layton, Timothy J. - 2016
Risk adjustment of payments to health plans is fundamental to regulated competition among private insurers, which serves as the basis of national health policy in many countries. To date, estimation and evaluation of a risk adjustment model has been a two-step process. In a first step, the...
Persistent link: https://www.econbiz.de/10012982943
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Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities
Kartashov, Vasily - 2011
This paper assesses the impact of variable investment-linked deferred annuities (VILDAs) on lifecycle consumption, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to manage systematic mortality risks, namely self-insurance...
Persistent link: https://www.econbiz.de/10013119604
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The Pricing of Event Risks with Parameter Uncertainty
Froot, Kenneth - 2010
Financial instruments whose payoffs are linked to exogenous events, such as the occurrence of a natural catastrophe or an unusual weather pattern depend crucially on actuarial models for determining event (e.g., default) probabilities. In many instances, investors appear to receive premiums far...
Persistent link: https://www.econbiz.de/10012763236
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Home Equity Insurance
Shiller, Robert J. - 2010
Home equity insurance policies, policies insuring homeowners against declines in the price of their homes, would bear some resemblance both to ordinary insurance and to financial hedging vehicles. A menu of choices for the design of such policies is presented here, and conceptual issues are...
Persistent link: https://www.econbiz.de/10012763566
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The Market for Catastrophe Risk : A Clinical Examination
Froot, Kenneth - 2010
with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other …, especially after cat events. We then examine clinical evidence to understand why the theory fails. Specifically, we examine … hints as to why the theory fails. We explore these hints in eight theoretical explanations and find the most compelling to …
Persistent link: https://www.econbiz.de/10012763776