IDEAS home Printed from https://ideas.repec.org/p/wop/iasawp/ir99075.html
   My bibliography  Save this paper

Analysis of Applications of Some Ex-Ante Instruments for the Transfer of Catastrophic Risks

Author

Listed:
  • P. Nowak

Abstract

The purpose of the work is to develop a prototype model that can be used to illustrate a model-based support for the analysis of decisions about ex-ante financial instruments for coping with consequences of natural catastrophes in developing countries. The prototype model is based on a model presented by P.K. Freeman and G.Ch. Pflug, but it has been adapted to the situation in Poland and modified to permit the analysis of various instruments for risk transfer. The proposed model considers a portfolio of assets (such as infrastructures, private property, etc.) that generates deterministic returns, but it is affected by damages caused by floods. A stochastic model of damages caused by floods has been formulated in order to allow the comparison of risk transfer instruments (such as catastrophe bonds and insurance) for various layers of the portfolio values.

Suggested Citation

  • P. Nowak, 1999. "Analysis of Applications of Some Ex-Ante Instruments for the Transfer of Catastrophic Risks," Working Papers ir99075, International Institute for Applied Systems Analysis.
    • Handle: RePEc:wop:iasawp:ir99075
    as

    Download full text from publisher

    File URL: http://www.iiasa.ac.at/Publications/Documents/IR-99-075.pdf
    Download Restriction: no
    File URL: http://www.iiasa.ac.at/Publications/Documents/IR-99-075.ps
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. H. Albrecher, 1998. "Dependent Risks and Ruin Probabilities in Insurance," Working Papers ir98072, International Institute for Applied Systems Analysis.
    2. Dwight M. Jaffee & Thomas Russell, 1996. "Catastrophe Insurance, Capital Markets and Uninsurable Risks," Center for Financial Institutions Working Papers 96-12, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. David C. Croson & Howard C. Kunreuther, 1999. "Customizing Reinsurance and Cat Bonds for Natural Hazard Risks," Center for Financial Institutions Working Papers 99-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
    4. G.J. MacDonald, 1999. "Climate and Catastrophic Weather Events," Working Papers ir99034, International Institute for Applied Systems Analysis.
    5. McIsaac, Donald A. & Babbel, David F., 1995. "The World Bank primer on reinsurance," Policy Research Working Paper Series 1512, The World Bank.
    6. Alan Martina, 1998. "Searching for General Principles to Guide the Design of Effective Disaster Mitigation Policy in Developing Countries: Part 1," Journal of Interdisciplinary Economics, , vol. 9(3), pages 201-238, July.
    7. J. Stripple, 1998. "Securitizing the Risks of Climate Change. Institutional Innovations in the Insurance of Catastrophic Risks," Working Papers ir98098, International Institute for Applied Systems Analysis.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mondher bellalah & Shirley Mardonez & Omar Masood, 2013. "How can non-life insurance linked securities be sustainable? (Mexico Case Study)," THEMA Working Papers 2013-18, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    2. Albrecher Hansjörg & Kantor Josef, 2002. "Simulation of ruin probabilities for risk processes of Markovian type," Monte Carlo Methods and Applications, De Gruyter, vol. 8(2), pages 111-128, December.
    3. Brown, Jeffrey R. & Cummins, J. David & Lewis, Christopher M. & Wei, Ran, 2004. "An empirical analysis of the economic impact of federal terrorism reinsurance," Journal of Monetary Economics, Elsevier, vol. 51(5), pages 861-898, July.
    4. Froot, Kenneth A., 2001. "The market for catastrophe risk: a clinical examination," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 529-571, May.
    5. Mario Jametti & Thomas von Ungern-Sternberg, 2009. "Hurricane Insurance in Florida," Quaderni della facoltà di Scienze economiche dell'Università di Lugano 0905, USI Università della Svizzera italiana.
    6. Gibson, Rajna & Habib, Michel A. & Ziegler, Alexandre, 2014. "Reinsurance or securitization: The case of natural catastrophe risk," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 79-100.
    7. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    8. Torben Andersen, 2001. "Managing Economic Exposures of Natural Disasters: Exploring Alternative Financial Risk Management Opportunities and Instruments," IDB Publications (Working Papers) 8934, Inter-American Development Bank.
    9. Erwann Michel-Kerjan, 2013. "Finance des risques catastrophiques. Le marché américain est en plein bouleversement," Revue économique, Presses de Sciences-Po, vol. 64(4), pages 615-634.
    10. Mario Jametti & Thomas von Ungern-Sternberg, 2006. "Risk Selection in Natural Disaster Insurance – the Case of France," CESifo Working Paper Series 1683, CESifo.
    11. Paul Raschky & Hannelore Weck-Hannemann, 2007. "Charity hazard - A real hazard to natural disaster insurance," Working Papers 2007-04, Faculty of Economics and Statistics, Universität Innsbruck.
    12. Nell, Martin & Richter, Andreas, 2002. "Improving risk allocation through cat bonds," Working Papers on Risk and Insurance 10, University of Hamburg, Institute for Risk and Insurance.
    13. Froot, Kenneth A. & O'Connell, Paul G.J., 2008. "On the pricing of intermediated risks: Theory and application to catastrophe reinsurance," Journal of Banking & Finance, Elsevier, vol. 32(1), pages 69-85, January.
    14. 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.
    15. Tse-Ling Teh & Alan Martina, 2008. "Developing Countries Spreading Covariant Risk Into International Risk Markets: Subsidised Catastrophe Bonds Or Reinsurance, Or Disaster Assistance?," ANU Working Papers in Economics and Econometrics 2008-492, Australian National University, College of Business and Economics, School of Economics.
    16. Charpentier, Arthur & Le Maux, Benoît, 2014. "Natural catastrophe insurance: How should the government intervene?," Journal of Public Economics, Elsevier, vol. 115(C), pages 1-17.
    17. M. Martin Boyer & Théodora Dupont-Courtade, 2013. "The Market for Reinsurance," CIRANO Working Papers 2013s-06, CIRANO.
    18. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2012. "How to Calculate Systemic Risk Surcharges," NBER Chapters, in: Quantifying Systemic Risk, pages 175-212, National Bureau of Economic Research, Inc.
    19. Wang, Chen & Sun, Jiayi & Russell, Roddy & Daziano, Ricardo A., 2018. "Analyzing willingness to improve the resilience of New York City's transportation system," Transport Policy, Elsevier, vol. 69(C), pages 10-19.
    20. Mario Jametti & Thomas von Ungern-Sternberg, 2004. "Disaster Insurance or a Disastrous Insurance – Natural Disaster Insurance in France," CESifo Working Paper Series 1303, CESifo.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wop:iasawp:ir99075. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/iiasaat.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.