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Risks
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Catastrophe Risk and Insurance
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Catastrophe Risk and Insurance

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: 30 April 2024 | Viewed by 4524

Special Issue Editors

Dr. Tim J. Boonen

E-Mail Website
Guest Editor
Amsterdam School of Economics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands
Interests: insurance; actuarial risk theory; mathematical finance; game theory
Dr. Yiqing Chen

E-Mail Website
Guest Editor
College of Business and Public Administration, Drake University, Des Moines, IA 50311, USA
Interests: extreme risks in insurance and finance; quantitative risk management; insurance solvency analysis
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

The journal Risks has launched a Special Issue on “Catastrophe Risk and Insurance”.

Today, we live in a rapidly changing environment marked by the occurrences of all kinds of catastrophes in increasing frequencies and with increasing severities. Aside from the devastating consequences of the ongoing COVID-19 pandemic, insurers need to face wide-ranging impacts of climate change and other potential disasters. All these catastrophes have generated considerable challenges for insurance professionals and practitioners.

We would like to invite you to submit your research papers concerning or related to catastrophe risk and insurance to this Special Issue. Topics of interest include, but are not limited to, the following:

  • Modelling insurance risk;
  • Flood risk;
  • COVID-19;
  • Valuation and managing insurance risk;
  • Catastrophe risk;
  • Emerging risks;
  • Actuarial risk management solutions;
  • Relationships between catastrophe risk and actuarial and economic variables;
  • Limited liability and catastrophes.

Submitted papers will first be evaluated by editors. All manuscripts will go through the same peer-review process and be subject to the same journal standards.

Dr. Tim J. Boonen
Dr. Yiqing Chen
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Published Papers (3 papers)

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Research

28 pages, 1014 KiB  
Article
Pricing Pandemic Bonds under Hull–White & Stochastic Logistic Growth Model
by Vajira Manathunga and Linmiao Deng
Risks 2023, 11(9), 155; https://doi.org/10.3390/risks11090155 - 28 Aug 2023
Cited by 1 | Viewed by 1353
Abstract
Pandemic bonds can be used as an effective tool to mitigate the economic losses that governments face during pandemics and transfer them to the global capital market. Once considered as an “uninsurable” event, pandemic bonds caught the attention of the world with the [...] Read more.
Pandemic bonds can be used as an effective tool to mitigate the economic losses that governments face during pandemics and transfer them to the global capital market. Once considered as an “uninsurable” event, pandemic bonds caught the attention of the world with the issuance of pandemic bonds by the World Bank in 2017. Compared to other CAT bonds, pandemic bonds received less attention from actuaries, industry professionals, and academic researchers. Existing research focused mainly on how to bring epidemiological parameters to the pricing mechanism through compartmental models. In this study, we introduce the stochastic logistic growth model-based pandemic bond pricing framework. We demonstrate the proposed model with two numerical examples. First, we calculate what investor is willing to pay for the World Bank issued pandemic bond while accounting for possible future pandemic, but require to have the same yield to maturity when no pandemic is there, and without using COVID-19 data. In the second example, we calculate the fair value of a pandemic bond with characteristics similar to the World Bank issued pandemic bond, but using COVID-19 data. The model can be used as an alternative to epidemic compartmental model-based pandemic bond pricing mechanisms. Full article
(This article belongs to the Special Issue Catastrophe Risk and Insurance)
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19 pages, 1812 KiB  
Article
Pricing Multi-Event-Triggered Catastrophe Bonds Based on a Copula–POT Model
by Yifan Tang, Conghua Wen, Chengxiu Ling and Yuqing Zhang
Risks 2023, 11(8), 151; https://doi.org/10.3390/risks11080151 - 18 Aug 2023
Cited by 1 | Viewed by 1250
Abstract
The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an extreme [...] Read more.
The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an extreme dependence structure. Due to the bond’s low cashflow contingencies and the CAT bond’s high return, the multiple-event CAT bond may successfully transfer the catastrophe risk to the huge financial markets to meet the diversification of capital allocations for most potential investors. The designed hybrid trigger mechanism helps reduce the moral hazard and increase the bond’s attractiveness with a lower trigger likelihood, displaying the determinants of the wiped-off coupon and principal by both the magnitude and intensity of the natural disaster events involved. As the trigger indicators resulting from the potential catastrophic disaster might be associated with heavy-tailed margins, nested Archimedean copulas are introduced with marginal distributions modeled by a POT-GP distribution for excess data and common parametric models for moderate risks. To illustrate our theoretical pricing framework, we conduct an empirical analysis of pricing a three-event rainstorm CAT bond based on the resulting losses due to rainstorms in China during 2006–2020. Monte Carlo simulations are carried out to analyze the sensitivity of the rainstorm CAT bond price in trigger attachment levels, maturity date, catastrophe intensity, and numbers of trigger indicators. Full article
(This article belongs to the Special Issue Catastrophe Risk and Insurance)
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11 pages, 693 KiB  
Article
Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events
by Elroi Hadad, Tomer Shushi and Rami Yosef
Risks 2023, 11(3), 50; https://doi.org/10.3390/risks11030050 - 23 Feb 2023
Viewed by 1209
Abstract
This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies providing a [...] Read more.
This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies providing a conservative framework that deals with the fundamental question of how much money should a government hold to prepare for natural or human-made extreme risk events that the government will cover? Although the ruin theory is commonly used for extreme risk events, we suggest a new risk measure to deal with such events in a new framework based on multivariate risk measures. We analyze the results for the log-elliptical model of dependent claims, which are commonly used in risk analysis, and illustrate our novel risk measure using a Monte Carlo simulation. Full article
(This article belongs to the Special Issue Catastrophe Risk and Insurance)
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