Centro de Documentación de Fundación MAPFRE - Insurability of pandemic risks

Notes: Sumario: This paper analyzes the scope of the private market for pandemic insurance. We develop a framework that explains theoretically how the equilibrium price of pandemic insurance depends on accumulation risk, covariance between pandemic claims and other claims, and covariance between pandemic claims and the stock market performance. Using the natural catastrophe (NatCat) insurance market as a laboratory, we estimate the relationship between the insurance price markup and the tail characteristics of the loss distribution. Then, by using the high-frequency data tracking the economic impact of the COVID-19 pandemic in the United States, we calibrate the loss distribution of a hypothetical insurance contract designed to alleviate the impact of the pandemic on small businesses. The pandemic insurance contract price markup corresponds to the top 20% markup observed in the NatCat insurance market. Then we analyze an intertemporal risk-sharing scheme that can reduce the expected shortfall of the loss distribution by 50%.

Related records: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/12/2021 Volumen 88 Número 4 - diciembre 2021 , p. 863-902Materia / lugar / evento: Pandemias Análisis de riesgos Mercado de seguros COVID-19 Cálculo actuarial Otros autores: Gründl, Helmut
Other categories: 7

Rights: La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"

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