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Large - scaledisasters and the insurance industry

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  • Prof. Dr. Walter Krämer

    ()
    (Faculty of Statistics, Dortmund University of Technology)

  • Sebastian Schich

    (OECD, Division for Financial Market Affairs, Paris)

Abstract

We investigate the effect of the 20 largest – in terms of insured losses – man-made or natural disasters on the insurance industry. We show via an event study that insurance markets worldwide are quite resilient to unexpected losses to capital and are even outperforming the general market subsequent to great disasters.

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Bibliographic Info

Paper provided by Business and Social Statistics Department, Technische Universität Dortmund in its series Working Papers with number 4.

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Length: 14 pages
Date of creation:
Date of revision: Mar 2005
Publication status: Published in Insurance and Risk Management Journal, April 2008, pages 1-19
Handle: RePEc:dor:wpaper:4

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Keywords: disaster; insurance industry; event-study;

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  1. Ploberger, Werner & Krämer;, Walter, 1990. "The Local Power of the CUSUM and CUSUM of Squares Tests," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 6(03), pages 335-347, September.
  2. Jeffrey R. Brown & J. David Cummins & Christopher M. Lewis & Ran Wei, 2004. "An Empirical Analysis of the Economic Impact of Federal Terrorism Reinsurance," NBER Working Papers 10388, National Bureau of Economic Research, Inc.
  3. 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, Wharton School Center for Financial Institutions, University of Pennsylvania 98-09, Wharton School Center for Financial Institutions, University of Pennsylvania.
  4. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, Econometric Society, vol. 60(2), pages 271-85, March.
  5. Chen, Andrew H. & Siems, Thomas F., 2004. "The effects of terrorism on global capital markets," European Journal of Political Economy, Elsevier, vol. 20(2), pages 349-366, June.
  6. Kenneth A. Froot, 1999. "Introduction to "Financing of Catastrophe Risk, The"," NBER Chapters, in: The Financing of Catastrophe Risk, pages 1-22 National Bureau of Economic Research, Inc.
  7. Kenneth A. Froot, 1999. "The Financing of Catastrophe Risk," NBER Books, National Bureau of Economic Research, Inc, number froo99-1.
  8. Cummins, J. David & Danzon, Patricia M., 1997. "Price, Financial Quality, and Capital Flows in Insurance Markets," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 6(1), pages 3-38, January.
  9. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, Elsevier, vol. 30(2), pages 253-272, December.
  10. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
  11. Anat Hovav & John D'Arcy, 2003. "The Impact of Denial-of-Service Attack Announcements on the Market Value of Firms," Risk Management and Insurance Review, American Risk and Insurance Association, American Risk and Insurance Association, vol. 6(2), pages 97-121, 09.
  12. Anne Gron, 1994. "Capacity Constraints and Cycles in Property-Casualty Insurance Markets," RAND Journal of Economics, The RAND Corporation, vol. 25(1), pages 110-127, Spring.
  13. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, Elsevier, vol. 14(1), pages 3-31, March.
  14. Kiviet, Jan F & Kramer, Walter, 1992. "Bias of SDE 2 in the Linear Regression Model with Correlated Errors," The Review of Economics and Statistics, MIT Press, vol. 74(2), pages 362-65, May.
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