학술저널
Pricing Risk-Adjusted Guaranty Insurance for Systematic Catastrophes
- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 8 No.1
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1995.0323 - 38 (15 pages)
- 0
커버이미지 없음
Insurance guaranty funds compensate policyholders for losses resulting from insurance company insolvencies. This paper derives a risk-adjusted premium formula for insurance guaranty funds, when the insurance firm faces catastrophic risks which are correlated with the overall economy. In a normal situation, systematic jump risks lower the risk-adjusted premium, on the contrary to unsystematic jump risks.
Abstract
Ⅰ. Introduction
Ⅱ. The Risk-Adjusted Premiums
Ⅲ. The Effect of Systematic Catastrophes on the Premium
Ⅳ. Summary
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