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The basis risk of catastrophic-loss index securities

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Author Info
Cummins, J. David
Lalonde, David
Phillips, Richard D.

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

Volume (Year): 71 (2004)
Issue (Month): 1 (January)
Pages: 77-111
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Handle: RePEc:eee:jfinec:v:71:y:2004:i:1:p:77-111

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

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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.:
  1. Froot, Kenneth A & Scharfstein, David S & Stein, Jeremy C, 1993. " Risk Management: Coordinating Corporate Investment and Financing Policies," Journal of Finance, American Finance Association, vol. 48(5), pages 1629-58, December. [Downloadable!] (restricted)
    Other versions:
  2. Neil A. Doherty, 1997. "Financial Innovation in the Management of Catastrophe Risk," Center for Financial Institutions Working Papers 98-12, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  3. John Major, 1999. "Index Hedge Performance: Insurer Market Penetration and Basis Risk," NBER Chapters, in: The Financing of Catastrophe Risk, pages 391-432 National Bureau of Economic Research, Inc. [Downloadable!]
  4. 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. [Downloadable!] (restricted)
  5. Anthony M. Santomero, 1997. "Commercial Bank Risk Management: An Analysis of the Process," Center for Financial Institutions Working Papers 95-11, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  6. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-70, March. [Downloadable!] (restricted)
  7. Mayers, David & Smith, Clifford W, Jr, 1992. "Executive Compensation in the Life Insurance Industry," Journal of Business, University of Chicago Press, vol. 65(1), pages 51-74, January. [Downloadable!] (restricted)
  8. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Optimal Risk Management Using Options," Journal of Finance, American Finance Association, vol. 54(1), pages 359-375, 02. [Downloadable!] (restricted)
  9. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Michael S. Canter & Joseph B. Cole & Richard L. Sandor, 1997. "Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(3), pages 69-81. [Downloadable!] (restricted)
  11. J. David Cummins & Christopher M. Lewis & Richard D. Phillips, 1998. "Pricing Excess-of-loss Reinsurance Contracts Against Catastrophic Loss," Center for Financial Institutions Working Papers 98-09, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  12. Neil A. Doherty, 1997. "Financial Innovation in the Management of Catastrophe Risk," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(3), pages 84-95. [Downloadable!] (restricted)
  13. Anthony Santomero, 1997. "Commercial Bank Risk Management: An Analysis of the Process," Journal of Financial Services Research, Springer, vol. 12(2), pages 83-115, October. [Downloadable!] (restricted)
  14. Vivek J. Bantwal & Howard C. Kunreuther, 1999. "A Cat Bond Premium Puzzle?," Center for Financial Institutions Working Papers 99-26, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  15. Dwight M. Jaffee & Thomas Russell, 1996. "Catastrophe Insurance, Capital Markets and Uninsurable Risks," Center for Financial Institutions Working Papers 96-12, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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(explanations, 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.)

  1. Ricardo Caballero G, 2002. "Coping With Chile’s External Vulnerability: A Financial Problem," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 5(1), pages 11-36, April. [Downloadable!]
    Other versions:
  2. Epperson, James E., 2008. "Securitizing peanut production risk with catastrophe (CAT) bonds," Faculty Series 44512, University of Georgia, Department of Agricultural and Applied Economics. [Downloadable!]
  3. Alexander Harin, 2004. "Arrangement Infringement Possibility Approach: Some Economic Features of Large-Scale Events," Risk and Insurance 0409002, EconWPA. [Downloadable!]
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