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Diversification in catastrophe insurance markets
Recurso electrónico / Electronic resource
MAP20210030000
Cui, Hengxin ‌
Diversification in catastrophe insurance markets / Hengxin Cui, Ken Seng Tan, Fan Yang
Sumario: Catastrophe insurance markets fail to provide sufficient protections against natural catastrophes, whereas they have the capacity to absorb the losses. In this paper, we assume the catastrophic risks are dependent and extremely heavy-tailed, and insurers have limited liability to cover losses up to a certain amount. We provide a comprehensive study to show that the diversification in the catastrophe insurance markets can be transited from suboptimal to preferred by increasing the number of insurers in the market. This highlights the importance of coordination among insurers and the government intervention in encouraging insurers to participate in the catastrophe insurance market to exploit risk sharing. Simulation studies are provided to illuminate the key findings of our results
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 13/09/2021 Volumen 51 Número 3 - septiembre 2021 , p. 753-778
1. Catástrofes ‌. 2. Mercado de seguros ‌. 3. Diversificación de los riesgos ‌. 4. Riesgos ‌. I. Título.