The pricing of US catastrophe reinsurance:
We explore two theories that have been advanced to explain the patterns in U.S. catastrophe reinsurance pricing. The first is that price variation is tied to demand shocks, driven in effect by changes in actuarially expected losses. The second holds that the supply of capital to the reinsurance indu...
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
1997
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| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
6043 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | We explore two theories that have been advanced to explain the patterns in U.S. catastrophe reinsurance pricing. The first is that price variation is tied to demand shocks, driven in effect by changes in actuarially expected losses. The second holds that the supply of capital to the reinsurance industry is less than perfectly elastic, with the consequences that prices are bid up whenever existing funds are depleted by catastrophe losses. Using detailed reinsurance contract data from Guy Carpenter & Co. over a 25-year period, we test these two theories. Our results suggest that capital market imperfections are more important than shifts in actuarial valuation for understanding catastrophe reinsurance pricing. Supply, rather than demand, shifts seem to explain most features of the market in the aftermath of a loss. |
| Physical Description: | 37 S. graph. Darst. |
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| id | DE-604.BV011718023 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:14:34Z |
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| language | English |
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| physical | 37 S. graph. Darst. |
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| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Froot, Kenneth A. Verfasser aut The pricing of US catastrophe reinsurance Kenneth A. Froot ; Paul G. J. O'Connell Cambridge, Mass. 1997 37 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6043 We explore two theories that have been advanced to explain the patterns in U.S. catastrophe reinsurance pricing. The first is that price variation is tied to demand shocks, driven in effect by changes in actuarially expected losses. The second holds that the supply of capital to the reinsurance industry is less than perfectly elastic, with the consequences that prices are bid up whenever existing funds are depleted by catastrophe losses. Using detailed reinsurance contract data from Guy Carpenter & Co. over a 25-year period, we test these two theories. Our results suggest that capital market imperfections are more important than shifts in actuarial valuation for understanding catastrophe reinsurance pricing. Supply, rather than demand, shifts seem to explain most features of the market in the aftermath of a loss. Ökonometrisches Modell Disaster insurance United States Econometric models Pricing United States Econometric models Reinsurance United States Econometric models Risk (Insurance) United States Econometric models USA O'Connell, Paul G. J. Verfasser aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6043 (DE-604)BV002801238 6043 http://papers.nber.org/papers/w6043.pdf kostenfrei Volltext |
| spellingShingle | Froot, Kenneth A. O'Connell, Paul G. J. The pricing of US catastrophe reinsurance National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Disaster insurance United States Econometric models Pricing United States Econometric models Reinsurance United States Econometric models Risk (Insurance) United States Econometric models |
| title | The pricing of US catastrophe reinsurance |
| title_auth | The pricing of US catastrophe reinsurance |
| title_exact_search | The pricing of US catastrophe reinsurance |
| title_full | The pricing of US catastrophe reinsurance Kenneth A. Froot ; Paul G. J. O'Connell |
| title_fullStr | The pricing of US catastrophe reinsurance Kenneth A. Froot ; Paul G. J. O'Connell |
| title_full_unstemmed | The pricing of US catastrophe reinsurance Kenneth A. Froot ; Paul G. J. O'Connell |
| title_short | The pricing of US catastrophe reinsurance |
| title_sort | the pricing of us catastrophe reinsurance |
| topic | Ökonometrisches Modell Disaster insurance United States Econometric models Pricing United States Econometric models Reinsurance United States Econometric models Risk (Insurance) United States Econometric models |
| topic_facet | Ökonometrisches Modell Disaster insurance United States Econometric models Pricing United States Econometric models Reinsurance United States Econometric models Risk (Insurance) United States Econometric models USA |
| url | http://papers.nber.org/papers/w6043.pdf |
| volume_link | (DE-604)BV002801238 |
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