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Property-casualty (P&C) insurers are exposed to rare but severe natural disasters. This paper analyzes the relation between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly steeper compared to non-financials and other financial...
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Extreme climate events could influence poverty by affecting agricultural productivity and raising prices of staple … and groups are going to be most vulnerable to increasing poverty. Using a novel economic-climate analysis framework, we … assess the poverty impacts of climate volatility for seven socio-economic groups in 16 developing countries. We find that …
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The growth of risk capital regulatory regimes and continuous convergence of re/insurance and capital markets instruments and investment processes creates demand for quantitative and systematic risk management strategies for portfolio and line-of-business volatility and correlation dispersion....
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variation in rare disaster risk as a source of aggregate asset prices fluctuations …
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