CATASTROPHE RISK MANAGEMENT OF INSURANCE COMPANY BY REINSURANCE POLICY VERSUS CAT BOND

DOI IR (HANDLE)

Bibliographic Information

Other Title
  • 再保険とCATボンドによる保険会社の大災害リスク管理

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Description

We study how insurance companies could control catastrophic risk by traditional reinsurance policy and CAT bond(catastrophe bond). The risk processes are assumed as Merton's Jump diffusion model. The reinsurance company may face to default risk due to catastrophe disaster. On the other hand, CAT bond never be default risk due to funding from capital market. We compare the risk management characteristics of the traditional reinsurance policy and the CAT-bond by option pricing theory.

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Details 詳細情報について

  • CRID
    1390572174778395392
  • NII Article ID
    120006715066
  • NII Book ID
    AA12677220
  • DOI
    10.15002/00022090
  • HANDLE
    10114/00022090
  • ISSN
    21879923
  • Text Lang
    ja
  • Article Type
    departmental bulletin paper
  • Data Source
    • JaLC
    • IRDB
    • CiNii Articles
  • Abstract License Flag
    Allowed

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