Abstract
The non-life insurance industry has experienced record catastrophe claims over the past decades all over the world. Traditionally, insurers purchased reinsurance to manage their catastrophe exposure.
As catastrophes occur with greater severity and frequency, insurers have found it difficult to obtain reinsurance coverage because of the lack of reinsurance capacity. Recently, some insurers have developed a new risk-transfer alternative to help insurers manage their underwriting exposure.
The purpose of this paper is to compare CAT bonds to reinsurance for typhoon-loss coverage, using our simulation model of cash flow effects with various scenarios.
Keywords: catastrophe risk, securitization of insurance risks, cat bonds, cash-flow simulation
As catastrophes occur with greater severity and frequency, insurers have found it difficult to obtain reinsurance coverage because of the lack of reinsurance capacity. Recently, some insurers have developed a new risk-transfer alternative to help insurers manage their underwriting exposure.
The purpose of this paper is to compare CAT bonds to reinsurance for typhoon-loss coverage, using our simulation model of cash flow effects with various scenarios.
Keywords: catastrophe risk, securitization of insurance risks, cat bonds, cash-flow simulation
Volume
Toyko
Year
1999
Categories
Actuarial Applications and Methodologies
Ratemaking
Large Loss and Extreme Event Loading
Financial and Statistical Methods
Extreme Event Modeling
Business Areas
Reinsurance
Financial and Statistical Methods
Simulation
Publications
ASTIN Colloquium
