메뉴 건너뛰기




Volumn 22, Issue 3, 2009, Pages 959-993

Nondiversification traps in catastrophe insurance markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 60449104919     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhn021     Document Type: Article
Times cited : (97)

References (50)
  • 3
    • 33750098182 scopus 로고    scopus 로고
    • Poverty Traps
    • P. Aghion and S. Durlauf eds, Amsterdam: Elsevier, pp
    • Azariadis, C., and J. J. Stachurski. 2006. Poverty Traps, in P. Aghion and S. Durlauf (eds.), Handbook of Economic Growth. Amsterdam: Elsevier, pp. 295-384.
    • (2006) Handbook of Economic Growth , pp. 295-384
    • Azariadis, C.1    Stachurski, J.J.2
  • 4
    • 0012495261 scopus 로고    scopus 로고
    • Estimating Locations and Magnitudes of Earthquakes in Eastern North America from Modified Mercalli Intensities
    • Bakun, W. H., A. C. Johnston, and M. G. Hopper. 2003. Estimating Locations and Magnitudes of Earthquakes in Eastern North America from Modified Mercalli Intensities. Bulletin of the Seismological Society of America 93:190-202.
    • (2003) Bulletin of the Seismological Society of America , vol.93 , pp. 190-202
    • Bakun, W.H.1    Johnston, A.C.2    Hopper, M.G.3
  • 7
    • 33747136677 scopus 로고    scopus 로고
    • Should the Government Provide Insurance for Catastrophes?
    • forthcoming
    • Cummins, J. D. 2006. Should the Government Provide Insurance for Catastrophes? Federal Reserve Bank of St. Louis Review, forthcoming.
    • (2006) Federal Reserve Bank of St. Louis Review
    • Cummins, J.D.1
  • 8
    • 0036152933 scopus 로고    scopus 로고
    • Can Insurers Pay for the Big One? Measuring the Capacity of the Insurance Market to Respond to Catastrophic Losses
    • Cummins, J. D., N. Doherty, and A. Lo. 2002. Can Insurers Pay for the Big One? Measuring the Capacity of the Insurance Market to Respond to Catastrophic Losses. Journal of Banking and Finance 26:557-83.
    • (2002) Journal of Banking and Finance , vol.26 , pp. 557-583
    • Cummins, J.D.1    Doherty, N.2    Lo, A.3
  • 9
    • 0345862373 scopus 로고    scopus 로고
    • Optimal Insurance with Divergent Beliefs About Insurer Total Default Risk
    • Cummins, J. D., and O. Mahul. 2003. Optimal Insurance with Divergent Beliefs About Insurer Total Default Risk. Journal of Risk and Uncertainty 27(2): 121-38.
    • (2003) Journal of Risk and Uncertainty , vol.27 , Issue.2 , pp. 121-138
    • Cummins, J.D.1    Mahul, O.2
  • 12
    • 0002528209 scopus 로고
    • The Behavior of Stock Market Prices
    • Fama, E. 1965. The Behavior of Stock Market Prices. Journal of Business 38:34-105.
    • (1965) Journal of Business , vol.38 , pp. 34-105
    • Fama, E.1
  • 13
    • 0001761191 scopus 로고    scopus 로고
    • The Market for Catastrophe Risk: A Clinical Examination
    • Froot, K. A. 2001. The Market for Catastrophe Risk: A Clinical Examination. Journal of Financial Economics 60:529-71.
    • (2001) Journal of Financial Economics , vol.60 , pp. 529-571
    • Froot, K.A.1
  • 15
    • 84993843447 scopus 로고
    • Risk Management: Coordinating Corporate Investment and Financing Decisions
    • Froot, K. A., D. Scharsfstein, and J. Stein. 1993. Risk Management: Coordinating Corporate Investment and Financing Decisions. Journal of Finance 48:1629-58.
    • (1993) Journal of Finance , vol.48 , pp. 1629-1658
    • Froot, K.A.1    Scharsfstein, D.2    Stein, J.3
  • 16
    • 3042831202 scopus 로고    scopus 로고
    • A Theory of Power-Law Distributions in Financial Market Fluctuations
    • Gabaix, X., P. Gopikrishnan, V. Plerou, and H. E. Stanley. 2003. A Theory of Power-Law Distributions in Financial Market Fluctuations. Nature 423:267-70.
    • (2003) Nature , vol.423 , pp. 267-270
    • Gabaix, X.1    Gopikrishnan, P.2    Plerou, V.3    Stanley, H.E.4
  • 18
    • 60449089159 scopus 로고    scopus 로고
    • Estimating the Direct and Indirect Losses from a Midwest Earthquake
    • Report SE-10, Mid-America Earthquake Center
    • Ho, P., J. Sussman, and D. Veneziano. 2001. Estimating the Direct and Indirect Losses from a Midwest Earthquake. Report SE-10, Mid-America Earthquake Center.
    • (2001)
    • Ho, P.1    Sussman, J.2    Veneziano, D.3
  • 19
    • 0002241171 scopus 로고
    • On the Estimation of Long-Tailed Skewed Distributions with Actuarial Applications
    • Hogg, R., and S. Klugman. 1983. On the Estimation of Long-Tailed Skewed Distributions with Actuarial Applications. Journal of Econometrics 23:91-102.
    • (1983) Journal of Econometrics , vol.23 , pp. 91-102
    • Hogg, R.1    Klugman, S.2
  • 21
    • 60449091585 scopus 로고    scopus 로고
    • The Economic Effect of Federal Participation in Terrorism Risk
    • Hubbard, G., B. Deal, and P. Hess. 2005. The Economic Effect of Federal Participation in Terrorism Risk. Risk Management and Insurance Review 8:177-303.
    • (2005) Risk Management and Insurance Review , vol.8 , pp. 177-303
    • Hubbard, G.1    Deal, B.2    Hess, P.3
  • 22
    • 34247526374 scopus 로고    scopus 로고
    • Harvard Institute of Economic Research Discussion Paper #2086. Available at
    • Ibragimov, R. 2004. Portfolio Diversification and Value at Risk Under Thick-Tailedness. Harvard Institute of Economic Research Discussion Paper #2086. Available at http://post.economics.harvard.edu/ hier/2005papers/HIER2086.pdf.
    • (2004) Portfolio Diversification and Value at Risk Under Thick-Tailedness
    • Ibragimov, R.1
  • 25
    • 34447619513 scopus 로고    scopus 로고
    • The Limits of Diversification When Losses May Be Large
    • Ibragimov, R., and J. Walden. 2007. The Limits of Diversification When Losses May Be Large. Journal of Banking and Finance 31:2551-69.
    • (2007) Journal of Banking and Finance , vol.31 , pp. 2551-2569
    • Ibragimov, R.1    Walden, J.2
  • 26
    • 60449100957 scopus 로고    scopus 로고
    • Jaffec, D. 2006. Should the Government Provide Insurance for Catastrophes? Comments on a Paper by J. David Cummins. Federal Reserve Bank of St. Louis Review, forthcoming.
    • Jaffec, D. 2006. Should the Government Provide Insurance for Catastrophes? Comments on a Paper by J. David Cummins. Federal Reserve Bank of St. Louis Review, forthcoming.
  • 27
    • 33645067522 scopus 로고    scopus 로고
    • Markets Under Stress: The Case of Extreme Event Insurance
    • R. Amott, B. Greenwald, R. Kanbur, and B. Nalebuff eds, Cambridge, MA: MIT Press, pp
    • Jaffee, D., and T. Russell. 2003. Markets Under Stress: The Case of Extreme Event Insurance, in R. Amott, B. Greenwald, R. Kanbur, and B. Nalebuff (eds.), Economics for an Imperfect World: Essays in Honor of Joseph E. Stiglitz. Cambridge, MA: MIT Press, pp. 35-52.
    • (2003) Economics for an Imperfect World: Essays in Honor of Joseph E. Stiglitz , pp. 35-52
    • Jaffee, D.1    Russell, T.2
  • 28
    • 33745244029 scopus 로고    scopus 로고
    • Should Governments Provide Catastrophe Insurance?
    • Available at
    • Jaffee, D., and T. Russell. 2006. Should Governments Provide Catastrophe Insurance? Economists' Voice 3(5). Available at http://www.bepress.com/ ev/vol3/iss5/art6.
    • (2006) Economists' Voice , vol.3 , Issue.5
    • Jaffee, D.1    Russell, T.2
  • 29
    • 0000974326 scopus 로고
    • On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective
    • Jansen, D. W., and C. G. de Vries. 1991. On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective. Review of Economics and Statistics 73:18-32.
    • (1991) Review of Economics and Statistics , vol.73 , pp. 18-32
    • Jansen, D.W.1    de Vries, C.G.2
  • 31
    • 0000790963 scopus 로고
    • Analysis of the Theory of Extremas as Applied to Earthquake Problems
    • Knopoff, L., and Y. Kagan. 1977. Analysis of the Theory of Extremas as Applied to Earthquake Problems. Journal of Geophysical Research 82:5647-57.
    • (1977) Journal of Geophysical Research , vol.82 , pp. 5647-5657
    • Knopoff, L.1    Kagan, Y.2
  • 33
    • 0000119560 scopus 로고
    • Testing the Covariance Stationarity of Heavy-Tailed Time Series
    • Loretan, M., and P. C. B. Phillips. .1994. Testing the Covariance Stationarity of Heavy-Tailed Time Series. Journal of Empirical Finance 1:211-48.
    • (1994) Journal of Empirical Finance , vol.1 , pp. 211-248
    • Loretan, M.1    Phillips, P.C.B.2
  • 34
    • 84868901426 scopus 로고    scopus 로고
    • Efficient Risk Sharing Within a Catastrophe Insurance Pool. Paper presented at the January 21, 2003
    • available at
    • Mahul, O., and B. Wright. 2004. Efficient Risk Sharing Within a Catastrophe Insurance Pool. Paper presented at the January 21, 2003, NBER Insurance Project Workshop, available at http://www.arec.umd.edu/Deportment/ Seminars/mahulwright0204.pdf.
    • (2004) NBER Insurance Project Workshop
    • Mahul, O.1    Wright, B.2
  • 35
    • 0001504360 scopus 로고
    • The Variation of Certain Speculative Prices
    • Mandelbrot, B. 1963. The Variation of Certain Speculative Prices. Journal of Business 36:394-419.
    • (1963) Journal of Business , vol.36 , pp. 394-419
    • Mandelbrot, B.1
  • 36
    • 70350656348 scopus 로고    scopus 로고
    • Financial
    • Applications of Stable Distributions, G. S. Maddala and C. R. Rao eds, Amsterdam: Elsevier, pp
    • McCulloch, J. H. 1996. Financial. Applications of Stable Distributions, in G. S. Maddala and C. R. Rao (eds.), Handbook of Statistics. Vol. 14. Amsterdam: Elsevier, pp. 393-425.
    • (1996) Handbook of Statistics , vol.14 , pp. 393-425
    • McCulloch, J.H.1
  • 37
    • 0002485569 scopus 로고    scopus 로고
    • Measuring Tail Thickness to Estimate the Stable Index Alpha: A. Critique
    • McCulloch, J. H. 1997. Measuring Tail Thickness to Estimate the Stable Index Alpha: A. Critique. Journal of Business and Economic Statistics .15:74-81.
    • (1997) Journal of Business and Economic Statistics , vol.15 , pp. 74-81
    • McCulloch, J.H.1
  • 38
    • 23844493359 scopus 로고    scopus 로고
    • Oakland, CA: Earthquake Engineering Research Institute
    • McGuire, R. 2004. Seismic Hazard and Risk Analysis. Oakland, CA: Earthquake Engineering Research Institute.
    • (2004) Seismic Hazard and Risk Analysis
    • McGuire, R.1
  • 40
    • 60449111869 scopus 로고    scopus 로고
    • Policy Issues in Insurance No. 08: Catastrophic Risks and Insurance
    • OECD, August, Paris, France
    • OECD. 2005, August. Policy Issues in Insurance No. 08: Catastrophic Risks and Insurance. OECD Publishing, Paris, France.
    • (2005) OECD Publishing
  • 41
    • 60449095228 scopus 로고    scopus 로고
    • Policy Issues in Insurance No. 09: Terrorism Risk Insurance in OECD Countries
    • OECD, July, Paris, France
    • OECD. 2005, July. Policy Issues in Insurance No. 09: Terrorism Risk Insurance in OECD Countries. OECD Publishing, Paris, France.
    • (2005) OECD Publishing
  • 43
    • 51249187914 scopus 로고
    • p (p > 2) Spanned by Sequences of Independent Random Variables
    • p (p > 2) Spanned by Sequences of Independent Random Variables. Israel Journal of Mathematics 8:273-303.
    • (1970) Israel Journal of Mathematics , vol.8 , pp. 273-303
    • Rosenthal, H.P.1
  • 45
  • 47
    • 60449106845 scopus 로고    scopus 로고
    • Silverberg, G, and B. Verspagen. 2004. The Size Distribution of Innovations Revisited: An Application of Extreme Value Statistics to Citation and Value Measures of Patent Significance. Working Paper, Maastricht University
    • Silverberg, G., and B. Verspagen. 2004. The Size Distribution of Innovations Revisited: An Application of Extreme Value Statistics to Citation and Value Measures of Patent Significance. Working Paper, Maastricht University.
  • 48
    • 0030454979 scopus 로고    scopus 로고
    • Rank-Ordering Statistics of Extreme Events: Application to the Distribution of Large Earthquakes
    • Sornette, D., L. Knopoff, Y. Kagan, and C. Vanneste. 1996. Rank-Ordering Statistics of Extreme Events: Application to the Distribution of Large Earthquakes. Journal of Geophysical Research 101:13883-94.
    • (1996) Journal of Geophysical Research , vol.101 , pp. 13883-13894
    • Sornette, D.1    Knopoff, L.2    Kagan, Y.3    Vanneste, C.4
  • 49
    • 60449120826 scopus 로고    scopus 로고
    • Sigma
    • SwissRe. 2006. Sigma. Sigma 2:267-70.
    • (2006) Sigma , vol.2 , pp. 267-270
    • SwissRe1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.