A RATIONAL APPROACH TO PRICING OF CATASTROPHE INSURANCE

Authors
DONG WM SHAH H WONG F
Citation
Wm. Dong et al., A RATIONAL APPROACH TO PRICING OF CATASTROPHE INSURANCE, Journal of risk and uncertainty, 12(2-3), 1996, pp. 201-218
Citations number
5
Categorie Soggetti
Economics,"Business Finance
Journal title
Journal of risk and uncertainty → ACNP
ISSN journal
08955646
Volume
12
Issue
2-3
Year of publication
1996
Pages
201 - 218
Database
ISI
SICI code
0895-5646(1996)12:2-3<201:ARATPO>2.0.ZU;2-Z
Abstract
A methodology for rational pricing of catastrophe insurance is describ ed. The methodology has two components: a solvency- and stability-base d pricing framework, and an engine to quantify the loss variability th at drives solvency and stability. Generalization to account for contag ious effects of catastrophes and multiple occurrence of peril is prese nted in detail.