The Basis Risk of Catastrophic-Loss Index Securities

By David Cummins, David Lalonde, Richard D. Phillips. 2000

192 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Soil Science

View Paper: https://www.semanticscholar.org/paper/0e0ea2d772b133ae75b224e170d83ea9068cb483

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Citations in the corpus

Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk Transfer Solutions (2008, unknown): “In 2001, the ratio of premium to expected loss was around 6, consistent with the findings of Cummins, Lalonde, and Phillips (2004) for the period prior to 2001.”
Pricing in the Primary Market for Cat Bonds: New Empirical Evidence (2016, unknown): “09 derived by Cummins et al. (2004) based on a set of 32 transactions from the late 1990s. Furthermore, Cummins and Weiss (2009) report multiples of around 6.”
Valuation of catastrophe reinsurance with catastrophe bonds (2007, methodology): “The asset value of the reinsurance company is governed by the following process: dVt Vt = µV dt + φV drt + σV dWV,t , (1) 4 See Harrington and Niehaus (1999) and Cummins et al. (2004).”
Securitization of Life Insurance Assets and Liabilities (2005, background): “One important conclusion that can be drawn from this analysis as well as from the prior financial literature on insurance (e.g., Froot 2001, Cummins, Lalonde, and Phillips 2004) is that securitization has the potential to increase the efficiency of both insurance and financial markets.”
Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “In the past few decades, insurance companies have successfully transferred catastrophic risks in their propertyliability business to financial markets by issuing catastrophe (CAT) bonds (Cummins et al., 2004; Cummins andWeiss, 2009).”
Does rising income increase or decrease damage risk from natural disasters (2008, background): “, 2003; Skidmore, 2001; Skidmore and Toya, 2002; Austin and Romm, 2004; Hallstrom and Smith, 2005; Sadowski and Sutter, 2005), and insurance responses to disaster risk (Brookshire et al., 1985; Kunreuther, 1996; Cossette et al., 2003; Cummins et al., 2004).”
Should the government provide insurance for catastrophes (2006, background): “17 Cummins, Lalonde, and Phillips (2004) tabulate spreads on CAT bonds issued from 1997 through March of 2000 and find that the median ratio of bond spread to expected loss is 6.77.”