Catastrophe options and catastrophe derivatives

A selection of articles and papers on catastrophe options and catastrophe derivatives, instruments sometimes used for reinsurance and risk transfer of catastrophe exposures.


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Innovative Risk management Solutions 
DerivativesStrategy.com Jul 1999

Risk Management Programs & The Use of Derivatives  
Innovative Risk Management Solutions

A Calculus of Risk 
Trends in Economics - Scientific American May 1998

Corporate Hedging in the Insurance Industry: The Use of Financial Derivatives by U.S. Insurers 
The Wharton Financial Institutions Center Sep 1996

Capital Markets, Derivatives and (Re)insurance 
Cadwalader, Wickersham & Taft LLP Sep 1998

Pricing Catastrophe Risk: Could CAT Futures Have Coped with Andrew?  
Casualty Actuarial Society Jun 2005

An Asian Option to the Valuation of Insurance Futures Contracts 
The Wharton Financial Institutions Center Sep 1993

Empirical Tests of Models of Catastrophe Insurance Futures 
The Wharton Financial Institutions Center Apr 1996

Bermuda Insurance Derivatives  
AS & K Dec 1999

Application of the Option Market Paradigm to the Solution of Insurance Problems 
Michael G. Wacek

Derivatives and Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry 
The Wharton Financial Institutions Center Jul 1998

Evaluating the Effectiveness of Index-Based Insurance Derivatives in Hedging Property/Casualty Insurance Transactions 
American Academy of Actuaries Oct 1999

A Buyer's Guide for Options on a Catastrophe Index 
Glenn Meyers

Insurance derivatives: Convergence of capital markets and insurance markets 
Dr. Marcel Grandi and Dr. Andreas Müller 1999

Insurance Catastrophe Futures 
Insurance Services Office

A Buyer's Guide for Options and Futures on a Catastrophe Index 
Insurance Services Office

Analysis of Applications of Some Ex-Ante Instruments for the Transfer of Catastrophic Risks 
International Institute for Applied Systems Analysis Dec 1999

Derivatives Development 
Risk Management Magazine

Derivatives: Do they have a place in ERM? 
Enterprise Risk Management

Actuarially Consistent Valuation of Catastrophe Derivatives 
The Wharton Financial Institutions Center Jul 2003

Insurance and reinsurance contracts as complex derivatives: Application to multiple peril policies 
Alan R. Jung, Cyrus A. Ramezani

Impact of Uncertainty in Catastrophe Losses on Insurance Derivatives 
Carol Hayek and Roger Ghanem

When Should a Cat Index Futures be Created? 
The Institute of Social and Economic Research Mar 2003

Actuarially Consistent Valuation of Catastrophe Derivatives 
The Wharton Financial Institutions Center Jul 2003














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