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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
This paper examines the market for catastrophe event risk i.e., financial claims that are linked to losses associated with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other corporations against the largest cat events is most...
Persistent link: https://www.econbiz.de/10013117926
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Corporate Demand for Insurance : an Empirical Analysis of the U.S. Market for Catastrophe and Non-Catastrophe Risks
Michel-Kerjan, Erwann - 2011
Using a unique dataset of insurance decisions by over 1,800 large U.S. corporations, this study provides the first empirical analysis of firm behavior that compares corporate demand for property and catastrophe insurance (here, terrorism). We combine demand and supply data and apply a...
Persistent link: https://www.econbiz.de/10013120307
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The Market for Catastrophe Risk : A Clinical Examination
Froot, Kenneth - 2011
This paper examines the market for catastrophe event risk i.e., financial claims that are linked to losses associated with natural hazards, such as hurricanes and earthquakes. Risk management theory suggests protection by insurers and other corporations against the largest cat events is most...
Persistent link: https://www.econbiz.de/10013124399
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Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates
Weitzman, Martin - 2012
What is the best way to incorporate a risk premium into the discount rate schedule for a real investment project with uncertain payoffs? The standard CAPM formula suggests a beta-weighted average of the return on a safe investment and the mean return on an economy-wide representative risky...
Persistent link: https://www.econbiz.de/10013098814
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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
This paper examines the market for catastrophe event risk -- i.e., financial claims that are linked to losses associated with natural hazards, such as hurricanes and earthquakes. This market is in transition as new approaches for transferring risk are being explored. The paper studies several...
Persistent link: https://www.econbiz.de/10013105897
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Weathering the Storm : Hurricanes and Birth Outcomes
Currie, Janet - 2012
disasters, and errors in the measurement of gestation, as well as by a mechanical correlation between longer gestation and the …
Persistent link: https://www.econbiz.de/10013106666
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Option Prices in a Model with Stochastic Disaster Risk
Seo, Sang Byung - 2013
the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which … specifications for the stochastic rare disaster probability and show that the data favor a multifrequency process. Finally, we show …
Persistent link: https://www.econbiz.de/10013073202
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Risk-Taking Behavior in the Wake of Natural Disasters
Cameron, Lisa A. - 2013
We investigate whether experiencing a natural disaster affects risk-taking behavior. We conduct standard risk games … flood or earthquake exhibit more risk aversion. Experiencing a natural disaster causes people to perceive that they now face … a greater risk of a future disaster. We conclude that this change in perception of background risk causes people to take …
Persistent link: https://www.econbiz.de/10013074295