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Original Risk: A Society for Change Agents

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 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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