Assessing catastrophe reinsurance-linked securities as a new asset class

Journal of Portfolio Management

Volumn , Issue SUPPL., 1996, Pages 76-86

  Litzenberger, Robert H ^b   Beaglehole, David R ^b   Reynolds, Craig E ^a  

^a Goldman Sachs and Co   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030526936     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.076     Document Type: Article

References (7)

1. Black, Fischer. "The Pricing of Commodity Contracts." Journal of Financial Economics, 3 (1976).
2. Black, Fischer, and Robert Litterman. "Global Asset Allocation with Equities, Bonds, and Currencies." Goldman, Sachs & Co., October 1991.
3. "Earthquake Losses Under Workers Compensation and General Liability." Industry Research Council (formerly the All-Industry Research Advisory Council), October 1988.
4. Froot, Kenneth A., Brian S. Murphy, Aaron B. Stern, and Stephen E. Usher. The Emerging Asset Class: Insurance Risk. Guy Carpenter & Co., July 1995.
5. "Higher Chance for Big Quake." The New York Times, July 7, 1988.
6. "The Impact of Catastrophe on Property Insurance." ISO Insurance Issues Series, January 1994.
7. Stocks, Bonds, Bills, and Inflation. Chicago: Ibbotson Associates, 1996.