SHERP

Pricing Risk-Adjusted Guaranty Insurance for Systematic Catastrophes

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Authors
Ahn, Chang Mo
Issue Date
1995
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 8 (No. 1 1995): 23-38
Keywords
insurance company; policyholders
Abstract
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.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/1053
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Appears in Collections:
College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.08(1) (Spring 1995)
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