Abstract
The goal of the paper is to introduce catastrophe insurance futures and options. We first provide background on natural catastrophes and the associated financial effects on both the primary and reinsurance markets for property insurance. Next, we describe the recently introduced catastrophe insurance futures product and present a general framework for its pricing. We then illustrate the risk management and speculation potential of the futures contracts with several examples. In conclusion, we discuss the future of the contract the suggest several areas for further research.
Reinsurance Research
Volume
4
Page
817
Year
1994
Categories
Actuarial Applications and Methodologies
Investments
Arbitrage Pricing Theory (APT);
Financial and Statistical Methods
Extreme Event Modeling
Business Areas
Reinsurance
Practice Areas
Risk Management
Publications
AFIR Colloquium
