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Decomposition of natural catastrophe risks : insurability using parametric CAT bonds

Marvi, Morteza Tavanaie; Linders, Daniël - In: Risks : open access journal 9 (2021) 12, pp. 1-19

Nat Cat risks are not insurable by traditional insurance mainly because of producing highly correlated losses. The source of such correlation among buildings of a region subject to a natural hazard is discussed. A decomposition method is proposed to split Nat Cat risk into idiosyncratic (and...

Persistent link: https://www.econbiz.de/10012705095

Pricing multi-event-triggered catastrophe bonds based on a copula-POT model

Tang, Yifan; Wen, Conghua; Ling, Chengxiu; Zhang, Yuqing - In: Risks : open access journal 11 (2023) 8, pp. 1-19

determinants of the wiped-off coupon and principal by both the magnitude and intensity of the natural disaster events involved. As … the trigger indicators resulting from the potential catastrophic disaster might be associated with heavy-tailed margins …

Persistent link: https://www.econbiz.de/10014370493

Catastrophe insurance modeled by shot-noise processes

Schmidt, Thorsten - In: Risks : open access journal 2 (2014) 1, pp. 3-24

Shot-noise processes generalize compound Poisson processes in the following way: a jump (the shot) is followed by a decline (noise). This constitutes a useful model for insurance claims in many circumstances; claims due to natural disasters or self-exciting processes exhibit similar features. We...

Persistent link: https://www.econbiz.de/10010338102

Examining the effects of gradual catastrophes on capital modelling and the solvency of insurers: the case of COVID-19

Tamturk, Muhsin; Cortis, Dominic; Farrell, Mark - In: Risks : open access journal 8 (2020) 4/132, pp. 1-13

This paper models the gradual elements of catastrophic events on non-life insurance capital with a particular focus on the impact of pandemics, such as COVID-19. A combination of actuarial and epidemiological models are handled by the Markovian probabilistic approach, with Feynman's path...

Persistent link: https://www.econbiz.de/10012391664

Quantifying the role of occurrence losses in catastrophe excess of loss reinsurance pricing

Khare, Shree; Roy, Keven - In: Risks : open access journal 9 (2021) 3, pp. 1-38

The aim of this paper is to merge order statistics with natural catastrophe reinsurance pricing to develop new theoretical and practical insights relevant to market practice and model development. We present a novel framework to quantify the role that occurrence losses (order statistics) play in...

Persistent link: https://www.econbiz.de/10012508519

Climate change-related disaster risk mitigation through innovative insurance mechanism : a system dynamics model application for a case study in Latvia

Feofilovs, Maksims; Pagano, Andrea Jonathan; Vannucci, … - In: Risks : open access journal 12 (2024) 3, pp. 1-23

mechanisms by studying the feedback loops governing complex systems connected to the disaster insurance mechanism. Instead of … addressing the disaster's underlying risk, the traditional disaster insurance strategy largely focuses on providing financial … security for asset recovery after a disaster. This constraint becomes especially concerning as the threat of climate …

Persistent link: https://www.econbiz.de/10014497445

Measuring systemic governmental reinsurance risks of extreme risk events

Hadad, Elroi; Shusi, Tomer; Yosef, Rami - In: Risks : open access journal 11 (2023) 3, pp. 1-14

This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies...

Persistent link: https://www.econbiz.de/10014246287

Development of the black-scholes model for determining insurance premiums to mitigate the risk of disaster losses using the principles of mutual cooperation and regional economic g...

Purwandari, Titi; Hidayat, Yuyun; Sukono; Kalfin; … - In: Risks : open access journal 12 (2024) 7, pp. 1-21

change. This increase has an impact on the disaster insurance field, particularly in the calculation of premiums. Many … growth. Therefore, this research aims to develop premium models of natural disaster insurance that uniquely involve two new …, this study uses the model to estimate the premiums for natural disaster insurance in each province of Indonesia. The …

Persistent link: https://www.econbiz.de/10014637187

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks : open access journal 5 (2017) 4, pp. 1-13

We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal … and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement …

Persistent link: https://www.econbiz.de/10011783323

Nonparametric testing for information asymmetry in the mortgage servicing market

Jedidi, Helmi; Dionne, Georges - In: Risks : open access journal 12 (2024) 12, pp. 1-36

Our objective is to test for evidence of information asymmetry in the mortgage servicing market. Does the sale of mortgage servicing rights (MSR) by the initial lender to a second servicing institution unveil any residual asymmetric information? We are the first to analyze the originator's...

Persistent link: https://www.econbiz.de/10015327697