Keswani, A (2000) Time variation in the price of catastrophe reinsurance. Working Paper. The Department of Accounting and Finance, Lancaster University.Full text not available from this repository.
It has been shown that the price of catastrophe reinsurance varies considerably over time. In particular, prices tend to rise after catastrophes and drift down between catastrophes. We construct a dynamic model to explain these stylised features. The model has three sets of players; households, insurers and a reinsurer. As catastrophe losses are undiversifiable, insurers must set aside capital or buy reinsurance to cover losses in the eventuality of a catastrophe. This is costly because of alternative investment opportunities. We show that imperfections in the capital market are crucial for generating time variation in the price of catastrophe reinsurance.
|Item Type:||Monograph (Working Paper)|
|Deposited On:||11 Jul 2011 22:01|
|Last Modified:||27 Jul 2012 01:11|
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