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Moderne Finanzinstrumente im Rahmen des Katastrophen-Risk-Managements: Basisrisiko versus Ausfallrisiko


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  • Richter, Andreas
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    Ein wichtiges Problem bei der Versicherung und besonders der Rückversicherung von Katastrophenereignissen besteht in der Gefahr einer Kumulierung von Schäden beim einzelnen (Rück)Versicherer und dem damit verbundenen Ausfallrisiko. Als ein wirksames Instrument zur Bereitstellung von Katastrophendeckungen ohne Ausfallrisiko erweist sich bei entsprechender Ausgestaltung die Verbriefung von Versicherungsrisiken. Allerdings wird die Auszahlung der Deckung bei derartigen Transaktionen häufig an eine Zufallsgröße gebunden, die zwar mit den individuellen Schäden korreliert, aber nicht identisch ist. Sie wird dann im Allgemeinen kein perfektes Hedging-Instrument darstellen, sondern zu einem Basisrisiko führen. Dieser Beitrag untersucht, wie sich die Abwägung von Ausfall- beziehungsweise Kreditrisiko und Basisrisiko bei simultanem Einsatz von Versicherung und Risikoverbriefung auf optimale Risk-Management-Lösungen auswirkt. Es wird insbesondere der Einfluss des Kreditrisikos sowie der Möglichkeit zur Verbriefung von Versicherungsrisiken auf die Struktur idealer (Rück)Versicherungsarrangements untersucht. -- A major problem for insuring catastrophic risk is that, as a disaster causes damages to many insureds at the same time, such insurance and in particular reinsurance contracts are often subject to considerable default risk. On the other hand, the securitization of insurance risk, for example via a catastrophe bond, can be designed to completely avoid default risk. Typically, however, the payout from an insurance-linked security is tied to some stochastic variable, an index, which is correlated, but not identical, with the insured's actual losses. Therefore, such an instrument will usually not provide a perfect hedge. There will be some mismatch, the so-called basis risk. This paper investigates how the trade off between default respectively credit risk and basis risk affects optimal risk management solutions, when (re)insurance and risk securitization are used simultaneously. In particular, the impact of credit risk and risk securitization on the optimal reinsurance contract is analysed.

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    Paper provided by University of Hamburg, Institute for Risk and Insurance in its series Working Papers on Risk and Insurance with number 3.

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    Date of creation: 2001
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    Handle: RePEc:zbw:hzvwps:3

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