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Pricing and capital allocation in catastrophe insurance

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  • Zanjani, George
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-45VCKK9-2/2/081b2347efff18678f3920ff34eef568
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 65 (2002)
    Issue (Month): 2 (August)
    Pages: 283-305

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    Handle: RePEc:eee:jfinec:v:65:y:2002:i:2:p:283-305

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    Web page: http://www.elsevier.com/locate/inca/505576

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Kenneth A. Froot & Paul G. J. O'Connell, 1999. "The Pricing of U.S. Catastrophe Reinsurance," NBER Chapters, in: The Financing of Catastrophe Risk, pages 195-232 National Bureau of Economic Research, Inc.
    2. Winter Ralph A., 1994. "The Dynamics of Competitive Insurance Markets," Journal of Financial Intermediation, Elsevier, vol. 3(4), pages 379-415, September.
    3. David Cummins, J. & Sommer, David W., 1996. "Capital and risk in property-liability insurance markets," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1069-1092, July.
    4. Hoerger, Thomas J & Sloan, Frank A & Hassan, Mahmud, 1990. " Loss Volatility, Bankruptcy, and the Demand for Reinsurance," Journal of Risk and Uncertainty, Springer, vol. 3(3), pages 221-45, September.
    5. Froot, Kenneth A. & Stein, Jeremy C., 1998. "Risk management, capital budgeting, and capital structure policy for financial institutions: an integrated approach," Journal of Financial Economics, Elsevier, vol. 47(1), pages 55-82, January.
    6. Doherty, N A & Tinic, S M, 1981. "Reinsurance under Conditions of Capital Market Equilibrium: A Note," Journal of Finance, American Finance Association, vol. 36(4), pages 949-53, September.
    7. Robert C. Merton & André Perold, 1993. "Theory Of Risk Capital In Financial Firms," Journal of Applied Corporate Finance, Morgan Stanley, vol. 6(3), pages 16-32.
    8. Gron, Anne, 1994. "Evidence of Capacity Constraints in Insurance Markets," Journal of Law and Economics, University of Chicago Press, vol. 37(2), pages 349-77, October.
    9. Cummins, J. David & Danzon, Patricia M., 1997. "Price, Financial Quality, and Capital Flows in Insurance Markets," Journal of Financial Intermediation, Elsevier, vol. 6(1), pages 3-38, January.
    10. Neil Doherty & Richard Phillips, 2002. "Keeping up with the Joneses: Changing Rating Standards and the Buildup of Capital by U.S. Property-Liability Insurers," Journal of Financial Services Research, Springer, vol. 21(1), pages 55-78, February.
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    Cited by:
    1. Darrell Duffie & Bruno Strulovici, 2009. "Capital Mobility and Asset Pricing," Discussion Papers 1478, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Julien Hardelin & Sabine Lemoyne De Forges, 2009. "Raising capital in an insurance oligopoly market," Working Papers hal-00417573, HAL.
    3. Darius Lakdawalla & George Zanjani, 2006. "Catastrophe Bonds, Reinsurance, and the Optimal Collateralization of Risk-Transfer," NBER Working Papers 12742, National Bureau of Economic Research, Inc.
    4. repec:idb:brikps:11118 is not listed on IDEAS
    5. José Penalva, 2003. "Implications of dynamic trading for insurance markets," Economics Working Papers 720, Department of Economics and Business, Universitat Pompeu Fabra.
    6. Di Falco, Salvatore & Capitanio, Fabian & Adinolfi, Felice, 2011. "Natural Vs Financial Insurance in the Management of Weather Risk Exposure in the Italian Agriculture," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114325, European Association of Agricultural Economists.
    7. Gine, Xavier & Townsend, Robert & Vickery, James, 2007. "Statistical analysis of rainfall insurance payouts in southern India," Policy Research Working Paper Series 4426, The World Bank.
    8. Kenneth A. Froot, 2003. "Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers," NBER Working Papers 10184, National Bureau of Economic Research, Inc.
    9. Fink, Jason D. & Fink, Kristin E. & Russell, Allison, 2010. "When and how do tropical storms affect markets? The case of refined petroleum," Energy Economics, Elsevier, vol. 32(6), pages 1283-1290, November.
    10. J. David Cummins & Olivier Mahul, 2009. "Catastrophe Risk Financing in Developing Countries : Principles for Public Intervention," World Bank Publications, The World Bank, number 6289, October.
    11. Zimmer, Anja & Gründl, Helmut & Schade, Christian, 2012. "Be as safe as possible: A behavioral approach to the optimal corporate risk strategy of insurers," ICIR Working Paper Series 06/11, International Center for Insurance Regulation (ICIR), Goethe University Frankfurt.

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