Time variation in the price of catastrophe reinsurance

Lancaster University

Research output: Working paper

Published

Standard

Time variation in the price of catastrophe reinsurance. / Keswani, A.
Lancaster University: The Department of Accounting and Finance, 2000. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Keswani, A 2000 'Time variation in the price of catastrophe reinsurance' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Keswani, A. (2000). Time variation in the price of catastrophe reinsurance. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Keswani A. Time variation in the price of catastrophe reinsurance. Lancaster University: The Department of Accounting and Finance. 2000. (Accounting and Finance Working Paper Series).

Author

Keswani, A. / Time variation in the price of catastrophe reinsurance. Lancaster University : The Department of Accounting and Finance, 2000. (Accounting and Finance Working Paper Series).

Bibtex

@techreport{376a6f67fc554858b68db5383cd3a4c2,

title = "Time variation in the price of catastrophe reinsurance",

abstract = "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.",

author = "A Keswani",

year = "2000",

language = "English",

series = "Accounting and Finance Working Paper Series",

publisher = "The Department of Accounting and Finance",

type = "WorkingPaper",

institution = "The Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - Time variation in the price of catastrophe reinsurance

AU - Keswani, A

PY - 2000

Y1 - 2000

N2 - 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.

AB - 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.

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - Time variation in the price of catastrophe reinsurance

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -

Research