The Unholy Trinity: Fat Tails, Tail Dependence, and Micro-Correlations
Download full text from publisher
References listed on IDEAS
- Neil A. Doherty & Harris Schlesinger, 2001. "Insurance Contracts and Securitization," CESifo Working Paper Series 559, CESifo Group Munich.
- Carolyn Kousky & Erzo Luttmer & Richard Zeckhauser, 2006.
"Private investment and government protection,"
Journal of Risk and Uncertainty,
Springer, vol. 33(1), pages 73-100, September.
- Kousky, Carolyn & Luttmer, Erzo F. P. & Zeckhauser, Richard, 2006. "Private Investment and Government Protection," Working Paper Series rwp06-017, Harvard University, John F. Kennedy School of Government.
- Carolyn Kousky & Erzo F.P. Luttmer & Richard J. Zeckhauser, 2006. "Private Investment and Government Protection," NBER Working Papers 12255, National Bureau of Economic Research, Inc.
- Ladoucette, Sophie A. & Teugels, Jef L., 2006. "Analysis of risk measures for reinsurance layers," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 630-639, June.
- Kousky, Carolyn & Cooke, Roger, 2009. "Climate Change and Risk Management: Challenges for Insurance, Adaptation, and Loss Estimation," Discussion Papers dp-09-03-rev, Resources For the Future.
- Erwann Michel-Kerjan & Frederic Morlaye, 2008. "Extreme Events, Global Warming, and Insurance-Linked Securities: How to Trigger the “Tipping Point”," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 33(1), pages 153-176, January.
- Milidonis, Andreas & Grace, Martin F., 2008. "Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 38(01), pages 13-51, May.
- Colin F. Camerer & Howard Kunreuther, 1989. "Decision processes for low probability events: Policy implications," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 8(4), pages 565-592.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ceballos, Francisco, 2016. "Estimating spatial basis risk in rainfall index insurance: Methodology and application to excess rainfall insurance in Uruguay," IFPRI discussion papers 1595, International Food Policy Research Institute (IFPRI).
- Benjamin Jones & Michael Keen & Jon Strand, 2013. "Fiscal implications of climate change," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 20(1), pages 29-70, February.
- Masih-Tehrani, Behdad & Xu, Susan H. & Kumara, Soundar & Li, Haijun, 2011. "A single-period analysis of a two-echelon inventory system with dependent supply uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 45(8), pages 1128-1151, September.
- Bozic, Marin & Newton, John & Thraen, Cameron S. & Gould, Brian W., 2012. "Livestock Gross Margin Insurance for Dairy: Designing Margin Insurance Contracts to Account for Tail Dependence Risk," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124718, Agricultural and Applied Economics Association.
- Gernot Wagner & Richard Zeckhauser, 2012. "Climate policy: hard problem, soft thinking," Climatic Change, Springer, vol. 110(3), pages 507-521, February.
- Clovis Freire, 2011. "Social and Economic Impact of Disasters: Estimating the Threshold between Low and High Levels of Risk," MPDD Working Paper Series WP/11/15, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP).
- repec:spr:eurjdp:v:5:y:2017:i:1:d:10.1007_s40070-017-0071-2 is not listed on IDEAS
- Michael Hanemann, 2010. "The Impact of Climate Change: An Economic Perspective," Chapters,in: Climate Change Policies, chapter 2 Edward Elgar Publishing.
- Marc N. Conte & David L. Kelly, 2016. "An Imperfect Storm: Fat-Tailed Hurricane Damages, Insurance and Climate Policy," Working Papers 2016-01, University of Miami, Department of Economics.
More about this item
Keywordsrisk; fat tails; tail dependence; micro-correlations; insurance; natural disasters;
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-16 (All new papers)
- NEP-ENE-2010-01-16 (Energy Economics)
- NEP-IAS-2010-01-16 (Insurance Economics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rff:dpaper:dp-09-36-rev.pdf. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Webmaster). General contact details of provider: http://edirc.repec.org/data/degraus.html .