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Disaster insurance swaps

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  • Stuart M Turnbull

Abstract

This paper introduces a new type of contract, disaster insurance swaps (DISs), which can help insurance and reinsurance companies hedge their extreme-weather-related liabilities. An expression for the prices of such contracts is derived that is relatively straightforward to evaluate. The paper also explains some of the ways writers of DIS contracts can hedge their exposures.

Suggested Citation

  • Stuart M Turnbull, . "Disaster insurance swaps," Journal of Risk, Journal of Risk.
    • Handle: RePEc:rsk:journ4:7961657
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