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Managing catastrophic risk through insurance and securitization

Author

Listed:
  • Olivier Mahul

    (ESR - Unité de recherche d'Économie et Sociologie Rurales - INRA - Institut National de la Recherche Agronomique)

Abstract

Les récentes catastrophes naturelles ont amené les marchés financiers et les marchés de l'assurance à s'interroger sur une gestion efficace de ce type de risque. Une des caractéristiques des risques individuels exposés à un aléa climatique est qu'ils ne sont ni parfaitement indépendants, ni parfaitement corrélés. En conséquence, leur gestion relève à la fois d'une approche assurancielle, basée sur le principe de mutualisation, et d'une approche financière, basée sur la titrisation. A partir d'une décomposition appropriée du risque individuel en un élément idiosyncrasique et un élément systémique, l'auteur examine comment ces deux sources de risques peuvent être gérées efficacement par les marchés financiers et les assureurs. Les résultats sont alors appliqués à la gestion des risques sur récolte en agriculture.

Suggested Citation

  • Olivier Mahul, 2001. "Managing catastrophic risk through insurance and securitization," Post-Print hal-01952103, HAL.
    • Handle: RePEc:hal:journl:hal-01952103
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    Citations

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    Cited by:

    1. repec:bas:econth:y:2013:i:1:p:62-83 is not listed on IDEAS
    2. Rault, Arnaud & Krebs, Stéphane, 2011. "Catastrophic risk and risk management, what do we know about livestock epidemics? State of the art and prospects," Working Papers 208108, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
    3. Zhiwei Shen & Martin Odening, 2013. "Coping with systemic risk in index-based crop insurance," Agricultural Economics, International Association of Agricultural Economists, vol. 44(1), pages 1-13, January.
    4. Enjolras, Geoffroy & Kast, Robert, 2007. "Using participating and financial contracts to insure catastrophe risk: Implications for crop risk management," 101st Seminar, July 5-6, 2007, Berlin Germany 9268, European Association of Agricultural Economists.
    5. Rault, Arnaud & Krebs, Stephane, 2011. "Livestock epidemics and catastrophic risk management: State of the art and prospects on economic dynamics," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114793, European Association of Agricultural Economists.
    6. Xu, Wei & Odening, Martin & Musshoff, Oliver, 2008. "Optimal Design of Weather Bonds," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6781, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. repec:bas:econth:y:2013:i:1:p:84-102 is not listed on IDEAS
    8. Zulauf, Carl R., 2002. "Droughts And Farm Policy," Western Economics Forum, Western Agricultural Economics Association, vol. 1(2), pages 1-5.

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