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Large-scale disasters and the insurance industry

Author

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  • Krämer, Walter
  • Schich, Sebastian T.

Abstract

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.

Suggested Citation

  • Krämer, Walter & Schich, Sebastian T., 2005. "Large-scale disasters and the insurance industry," Technical Reports 2005,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  • Handle: RePEc:zbw:sfb475:200511
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    References listed on IDEAS

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    1. 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.
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    4. David Cummins & Christopher Lewis & Richard Phillips, 1999. "Pricing Excess-of-Loss Reinsurance Contracts against Cat as trophic Loss," NBER Chapters,in: The Financing of Catastrophe Risk, pages 93-148 National Bureau of Economic Research, Inc.
    5. 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.
    6. Cummins, J. David & Danzon, Patricia M., 1997. "Price, Financial Quality, and Capital Flows in Insurance Markets," Journal of Financial Intermediation, Elsevier, vol. 6(1), pages 3-38, January.
    7. 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.
    8. Kenneth A. Froot, 1999. "The Financing of Catastrophe Risk," NBER Books, National Bureau of Economic Research, Inc, number froo99-1, January.
    9. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
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    11. 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.
    12. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.
    13. 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.
    14. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
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    Cited by:

    1. Kleidt Benjamin & Schiereck Dirk & Sigl-Grueb Christof, 2009. "Rationality at the Eve of Destruction: Insurance Stocks and Huge Catastrophic Events," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 4(2), pages 1-27, April.

    More about this item

    Keywords

    disaster; insurance industry; event-study;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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