Analysis of Applications of Some Ex-Ante Instruments for the Transfer of Catastrophic Risks

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Analysis of Applications of Some Ex-Ante Instruments for the Transfer of Catastrophic Risks

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P. Nowak

Abstract

The purpose of the work is to develop a prototype model that can be used to illustrate a model-based support for the analysis of decisions about ex-ante financial instruments for coping with consequences of natural catastrophes in developing countries. The prototype model is based on a model presented by P.K. Freeman and G.Ch. Pflug, but it has been adapted to the situation in Poland and modified to permit the analysis of various instruments for risk transfer. The proposed model considers a portfolio of assets (such as infrastructures, private property, etc.) that generates deterministic returns, but it is affected by damages caused by floods. A stochastic model of damages caused by floods has been formulated in order to allow the comparison of risk transfer instruments (such as catastrophe bonds and insurance) for various layers of the portfolio values.

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Paper provided by International Institute for Applied Systems Analysis in its series Working Papers with number ir99075.

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Date of creation: Dec 1999
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Handle: RePEc:wop:iasawp:ir99075

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This paper has been announced in the following NEP Reports:

NEP-ALL-2000-01-17 (All new papers)
NEP-CFN-2000-01-17 (Corporate Finance)

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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.:

H. Albrecher, 1998. "Dependent Risks and Ruin Probabilities in Insurance," Working Papers ir98072, International Institute for Applied Systems Analysis. [Downloadable!]
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!]
David C. Croson & Howard C. Kunreuther, 1999. "Customizing Reinsurance and Cat Bonds for Natural Hazard Risks," Center for Financial Institutions Working Papers 99-34, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
G.J. MacDonald, 1999. "Climate and Catastrophic Weather Events," Working Papers ir99034, International Institute for Applied Systems Analysis. [Downloadable!]

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