A dynamic model of extreme risk coverage : resilience and efficiency in the global reinsurance market (English)

This paper presents a dynamic model of the reinsurance market for catastrophe risks. The model is based on the classical capacity-constraint assumption. Reinsurers choose every year the quantity of risk they cover and the level of external capital they raise to cover these risks. The model exhibits time dependency and reproduces a market dynamics that shares many features with the real market. In particular, market price increases and reinsurance...

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Author

Bibas, Ruben;

Hallegatte,Stephane;

Lemoyne de Forges, Sabine;
Document Date
2011/09/01
Document Type
Policy Research Working Paper
Report Number
WPS5807
Volume No
1
Total Volume(s)
1
Country
World,
Region
Other,
Disclosure Date
2011/09/01
Disclosure Status
Disclosed
Doc Name
A dynamic model of extreme risk coverage : resilience and efficiency in the global reinsurance market
Keywords
reinsurance market

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Citation

Bibas, Ruben; Hallegatte,Stephane; Lemoyne de Forges, Sabine.

A dynamic model of extreme risk coverage : resilience and efficiency in the global reinsurance market (English). Policy Research working paper ; no. WPS 5807 Washington, DC: World Bank. http://documents.worldbank.org/curated/en/613951468167981624

A dynamic model of extreme risk coverage : resilience and efficiency in the global reinsurance market (English)

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