S-Space College of Social Sciences (사회과학대학) Institute of Economics Research (경제연구소) Seoul Journal of Economics Seoul Journal of Economics vol.08(1) (Spring 1995)
Pricing Risk-Adjusted Guaranty Insurance for Systematic Catastrophes
- Ahn, Chang Mo
- Issue Date
- Seoul Journal of Economics, Vol.8 No.1, pp. 23-38
- 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.