We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the argument that large insurance losses may be a `globalizing factor' for the industry, we study the dependence of geographically distant insurance markets via equity returns. In...

Developing techniques for assessing various risks and calculating probabilities of ruin and survival are exciting topics for mathematically-inclined academics. For practicing actuaries and financial engineers, the resulting insights have provided enormous opportunities but also created serious...

Die GeoRisikoForschung der Münchener Rück analysiert seit mehr als 30 Jahren Naturkatastrophen rund um den Globus und dokumentiert diese in der NatCatSERVICE-Datenbank. Die Daten zeigen einen deutlichen Anstieg der Naturkatastrophen, der vor allem durch wetterbedingte Ereignisse begründet...

This paper simulates the increase in the average annual loss from tropical cyclones in the North Atlantic for the years 2015 and 2050. The simulation is based on assumptions concerning wealth trends in the regions affected by the storms, considered by the change in material assets (capital...

Traditionally, insurance risks are borne in reinsurance markets. In 1990s, however, after the sequence of huge natural disasters and huge insurance payments, the reinsurance markets reduced its capability to bear risks, especially those related to catastrophic natural disasters....

We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time-varying inflation risk premia. Furthermore, we show how...

The term premium on nominal long-term bonds in the standard dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to empirical measures obtained from the data - an example of the "bond premium puzzle." However, in models of endowment...