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Pricing of collateralized insurance obligations

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  • Stuart M Turnbull

Abstract

With the increasing frequency of extreme weather events, insurance and reinsurance companies face the challenge of hedging their liabilities. Disaster insurance swaps are a new form of financial security that facilitates the hedging of extreme weather events. The writers of such swaps face the challenge of hedging their risk exposures, similar to those of insurance and reinsurance companies. This paper describes a new form of structured product – collateralized insurance obligations – which will help writers of disaster insurance swaps and insurance and reinsurance companies hedge their liabilities.

Suggested Citation

  • Stuart M Turnbull, . "Pricing of collateralized insurance obligations," Journal of Risk, Journal of Risk.
    • Handle: RePEc:rsk:journ4:7964375
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