Empirical Tests of Models of Catastrophe Insurance Futures
AbstractThe authors empirically investigate models of insurance futures derivatives contracts. In the fall of 1993 the Chicago Board of Trade (CBOT) started trading a contract designed to scrutinize catastrophic risk, which is currently done in the reinsurance markets. There are obvious advantages to trading on organized exchanges (standardization, liquidity, much reduced credit risk, etc.) as opposed to OTC markets. There has so far been little academic on these contracts. In this paper we look at the price history for the first two years within the context of a pricing model of Aase . This paper was presented at the Financial Institutions Center's May 1996 conference on "
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Bibliographic InfoPaper provided by Wharton School Center for Financial Institutions, University of Pennsylvania in its series Center for Financial Institutions Working Papers with number 96-18.
Date of creation: May 1996
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