Journal ArticleDOI
Pricing and capital allocation in catastrophe insurance
TLDR
In this article, multi-line pricing and capital allocation by insurance companies when solvency matters to consumers, capital is costly to hold, and the average loss is uncertain is studied.About:
This article is published in Journal of Financial Economics.The article was published on 2002-08-01. It has received 157 citations till now. The article focuses on the topics: Solvency ratio & Economic capital.read more
Citations
More filters
Journal ArticleDOI
Presidential Address: Asset Price Dynamics with Slow-Moving Capital
TL;DR: In this paper, a simple illustrative model of price dynamics associated with slow-moving capital due to the presence of inattentive investors is presented. But the model assumes that a relatively small subset of capital (and thus riskbearing capacity) is immediately available to absorb a shock on short notice.
Book
Catastrophe Risk Financing in Developing Countries: Principles for Public Intervention
J. David Cummins,Olivier Mahul +1 more
TL;DR: In this article, a framework for public intervention in catastrophe insurance markets, supported by the donor community and the World Bank, should be country specific, with lessons drawn from recent experience and potential roles for donors and International Financial Institutions.
Asset Price Dynamics with Slow-Moving Capital
TL;DR: In this article, the authors describe asset price dynamics caused by the slow movement of investment capital to trading opportunities and discuss special impediments to capital formation during the recent financial crisis that caused asset price distortions, which subsided afterward.
Journal ArticleDOI
Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach
Journal ArticleDOI
Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers
TL;DR: In this paper, a framework for analyzing the risk allocation, capital budgeting, and capital structure decisions facing insurers and reinsurers is developed, which incorporates three key features: (i) value-maximizing insurers face product-market as well as capital-market imperfections that give rise to well-founded concerns with risk management and capital allocation; (ii) some, but not all, of the risks they face can be frictionlessly hedged in the capital market; and (iii) the distribution of their cash flows may be asymmetric, which alters the demand for
References
More filters
Journal ArticleDOI
Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach
Kenneth A. Froot,Jeremy C. Stein +1 more
TL;DR: In this article, the authors developed a framework for analyzing the capital allocation and capital structure decisions facing financial institutions, which incorporates two key features: value-maximizing banks have a well-founded concern with risk management; and not all the risks they face can be frictionlessly hedged in the capital market.
Journal ArticleDOI
Price, Financial Quality, and Capital Flows in Insurance Markets
TL;DR: In this article, the authors developed a model of price determination in insurance markets, which predicts that the price of insurance, measured by the ratio of premiums to discounted losses, is inversely related to insurer default risk.
Journal ArticleDOI
Risk-Based Premiums for Insurance Guaranty Funds
TL;DR: Risk-based premium formulas are developed for three cases: a) an ongoing insurer with stochastic assets and liabilities, b) a ongoing insurer also subject to jumps in liabilities (catastrophes), and c) a policy cohort, where claims eventually run off to zero.
Journal ArticleDOI
Capital and risk in property-liability insurance markets
J. David Cummins,David W. Sommer +1 more
TL;DR: In this paper, a theoretical model based on option pricing theory is developed which predicts a positive relationship between insurer capital and risk, as firms balance these two factors to achieve their desired overall insolvency risk.
Related Papers (5)
Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach
Kenneth A. Froot,Jeremy C. Stein +1 more