Large - scaledisasters and the insurance industry
We investigate the effect of the 20 largest – in terms of insured losses – man-made or natural disasters on the insurance industry. We show via an event study that insurance markets worldwide are quite resilient to unexpected losses to capital and are even outperforming the general market subsequent to great disasters.
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|Date of creation:|
|Date of revision:||Mar 2005|
|Publication status:||Published in Insurance and Risk Management Journal, April 2008, pages 1-19|
|Contact details of provider:|| Postal: Vogelpothsweg 78, D-44221 Dortmund|
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Web page: http://www.statistik.tu-dortmund.de/iwus.html
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- Kiviet, Jan F & Kramer, Walter, 1992. "Bias of SDE 2 in the Linear Regression Model with Correlated Errors," The Review of Economics and Statistics, MIT Press, vol. 74(2), pages 362-365, May.
- Kenneth A. Froot, 1999. "The Financing of Catastrophe Risk," NBER Books, National Bureau of Economic Research, Inc, number froo99-1, Enero.
- David Cummins & Christopher Lewis & Richard Phillips, 1999.
"Pricing Excess-of-Loss Reinsurance Contracts against Cat as trophic Loss,"
in: The Financing of Catastrophe Risk, pages 93-148
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- J. David Cummins & Christopher M. Lewis & Richard D. Phillips, 1998. "Pricing Excess-of-loss Reinsurance Contracts Against Catastrophic Loss," Center for Financial Institutions Working Papers 98-09, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Jeffrey R. Brown & J. David Cummins & Christopher M. Lewis & Ran Wei, 2004.
"An Empirical Analysis of the Economic Impact of Federal Terrorism Reinsurance,"
NBER Working Papers
10388, National Bureau of Economic Research, Inc.
- Brown, Jeffrey R. & Cummins, J. David & Lewis, Christopher M. & Wei, Ran, 2004. "An empirical analysis of the economic impact of federal terrorism reinsurance," Journal of Monetary Economics, Elsevier, vol. 51(5), pages 861-898, July.
- Anne Gron, 1994. "Capacity Constraints and Cycles in Property-Casualty Insurance Markets," RAND Journal of Economics, The RAND Corporation, vol. 25(1), pages 110-127, Spring.
- Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.
- Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
- Ploberger, Werner & Krämer;, Walter, 1990. "The Local Power of the CUSUM and CUSUM of Squares Tests," Econometric Theory, Cambridge University Press, vol. 6(03), pages 335-347, September.
- Kenneth A. Froot, 1999. "Introduction to "The Financing of Catastrophe Risk"," NBER Chapters, in: The Financing of Catastrophe Risk, pages 1-22 National Bureau of Economic Research, Inc.
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