Nondiversification Traps in Catastrophe Insurance Markets

By Rustam Ibragimov, Dwight M. Jaffee, Johan Waldén. 2009

160 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Soil Science

View Paper: https://www.semanticscholar.org/paper/30110361832dd7aa900933b46495dd8b15fbd833

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Citations in the corpus

Risk concentration and diversification: Second-order properties (2009, background): “More recently, Ibragimov and Walden (2007) and Ibragimov et al. (2009) have discussed diversification benefits linking heavy-tailed distributions to specific economic models.”
Portfolio diversification and value at risk under thick-tailedness (2009, unknown): “Similar analysis also holds for economic losses from other natural disasters with heavy-tailed physical characteristics surveyed in Ibragimov et al. (2009).y The fact that a number of economic and financial time series have the tail exponents of approximately equal to or (slightly or even…”
t-Statistic Based Correlation and Heterogeneity Robust Inference (2010, methodology): “Rejection probabilities in Figure 1 (and Figures 2 and 3 below) were computed by numeric inversion of the characteristic function of the appropriate Gaussian quadratic form–see Imhof (1961). As can be seen from Figure 1, for small q, the effective size can be much lower than the nominal level, but f”
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2009, unknown): “Keywords Multivariate extreme value theory · Multivariate regular variation · Risk aggregation · Spectral measure · Subadditivity · Tail dependence · Value-at-Risk AMS 2000 Subject Classifications 60G70 · 62P05 · 91B30 · 62E20”
The Impact of Terrorist Attacks on International Stock Markets (2010, unknown): “It is doubtful whether this difference in price reaction is due to the way the risk insurance industry treats catastrophic events because over the last 15 years most private-market property and casualty (P&C) insurance firms stopped offering coverage against major catastrophe risks, usually followin”
International diversification: A copula approach (2011, methodology): “For further details, see Ibragimov, Jaffee, and Walden (2009a).”
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, unknown): “Many financial time series have heavy tails, see, e.g., Mandelbrot (1963), Fama (1965), Rachev and Mittnik (2000), Embrechts et al. (1997), Ibragimov et al. (2009), and Ibragimov (2009), and so this is an important consideration in practice.”
Extreme Downside Risk and Expected Stock Returns (2012, unknown): “Moreover, researches by Ibragimov (2009), Ibragimov and Walden (2007), and Ibragimov et al. (2008) provide theoretical evidence that diversification is not always preferable, especially for extremely heavy-tailed distributions.2 Recent empirical asset pricing studies have examined other risk…”