Moral hazard, basis risk, and gap insurance

Journal of Risk and Insurance

Volumn 69, Issue 1, 2002, Pages 9-24

  Doherty, Neil A ^a   Richter, Andreas ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b UNIVERSITY OF HAMBURG   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1842451380     PISSN: 00224367     EISSN: None     Source Type: Journal    
DOI: 10.1111/1539-6975.00002     Document Type: Article

References (23)

1. Bantwal, V. J., and H. C. Kunreuther, 2000, A Cat Bond Premium Puzzle?, Journal of Psychology and Financial Markets, 1: 76-91.
2. Belonsky, G., D. S. Laster, and D. Durbin, 1999, Insurance-Linked Securities (Zurich: Swiss Re).
3. Borch, K., 1962, Equilibrium in a Reinsurance Market, Econometrica, 30: 424-444.
4. Cholnoky, T. V., J. H. Zief, E. A. Werner, and R. S. Bradistilov, 1998, Securitization of Insurance Risk - A New Frontier, Goldman Sachs Investment Research.
5. Croson, D. C., and H. C. Kunreuther, 2000, Customizing Indemnity Contracts and Indexed Cat Bonds for Natural Hazard Risks, Journal of Risk Finance, 1: 24-41.
6. Cummins, J. D., D. Lalonde, and R. D. Phillips, 2000, The Basis Risk of Catastrophic-Loss Index Securities, Working paper 00-22-B-B (Philadelphia: Financial Institutions Center, The Wharton School, University of Pennsylvania).
7. Doherty, N. A., 1985, Corporate Risk Management: A Financial Exposition (New York: McGraw-Hill).
8. Doherty, N. A., 1997, Financial Innovation for Financing and Hedging Catastrophe Risk, in: N. R. Britton and J. Oliver, eds., Financial Risk Management for Natural Catastrophes, Proceedings of a conference sponsored by Aon Group Australia Limited (Brisbane: Griffith University), 191-209.
9. Doherty, N. A., and O. Mahul, 2001, Mickey Mouse and Moral Hazard: Uninformative but Correlated Triggers, Working paper (Philadelphia: The Wharton School, University of Pennsylvania).
10. Doherty, N. A., and S. M. Tinic, 1981, A Note on Reinsurance Under Conditions of Capital Market Equilibrium: Journal of Finance, 36: 949-953.
11. Durrer, A., ed., 1996, Insurance Derivatives and Securitization: New Hedging Perspectives for the US Catastrophe Insurance Market, sigma no. 5 (Zurich: Swiss Re).
12. Froot, K. A., 1999, The Evolving Market for Catastrophic Event Risk, Risk Management and Insurance Review, 3:1-28.
13. Froot, K. A., D. S. Scharfstein, and J. C. Stein, 1993, Risk Management: Coordinating Corporate Investment and Financing Policies, Journal of Finance, 48:1629-1658.
14. Holmström, B., 1979, Moral Hazard and Observability, Bell Journal of Economics, 10: 74-91.
15. Kohn, M., 1999, Risk Instruments in the Medieval and Early Modern Economy, Working Paper 99-07 (Hanover, NH: Dartmouth College).
16. Laster, D., and M. Raturi, 2001, Capital Market Innovation in the Insurance Industry, sigma no. 3 (Zurich: Swiss Re).
17. MacMinn, R., 2000, Risk and Choice: A Perspective on the Integration of Finance and Insurance, Risk Management and Insurance Review, 3: 69-79.
18. Mayers, D., and C. W. Smith Jr., 1982, On the Corporate Demand for Insurance, Journal of Business, 55: 281-296.
19. Nance, D. R., C. W. Smith Jr., and C. W. Smithson, 1993, On the Determinants of Corporate Hedging, Journal of Finance, 48:267-284.
20. Nell, M., and A. Richter, 2000, Catastrophe Index-Linked Securities and Reinsurance as Substitutes, Working paper no. 56, Working Paper Series: Finance and Accounting (Frankfurt: Johann Wolfgang Goethe-University).
21. Shapiro, A. C., and S. Titman, 1985, An Integrated Approach to Corporate Risk Management, Midland Corporate Finance Journal, 3:41-56.
22. Smith, B. D., and M. Stutzer, 1995, A Theory of Mutual Formation and Moral Hazard With Evidence From the History of the Insurance Industry, The Review of Financial Studies, 8:545-577.
23. Stultz, R., 1984, Optimal Hedging Policies, Journal of Financial and Quantitative Analysis, 19:127-140.