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Insurability of pandemic risks

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      <subfield code="a">Insurability of pandemic risks</subfield>
      <subfield code="c">Helmut Gründl...[et.al.]</subfield>
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      <subfield code="a">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%.

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      <subfield code="a">La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"</subfield>
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      <subfield code="9">43</subfield>
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      <subfield code="0">MAPA20080552022</subfield>
      <subfield code="a">Pandemias</subfield>
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    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080588953</subfield>
      <subfield code="a">Análisis de riesgos</subfield>
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      <subfield code="0">MAPA20080586294</subfield>
      <subfield code="a">Mercado de seguros</subfield>
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      <subfield code="0">MAPA20200005599</subfield>
      <subfield code="a">COVID-19</subfield>
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      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
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      <subfield code="0">MAPA20080100339</subfield>
      <subfield code="a">Gründl, Helmut</subfield>
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      <subfield code="w">MAP20077000727</subfield>
      <subfield code="g">01/12/2021 Volumen 88 Número 4 - diciembre 2021 , p. 863-902</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
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