English, Article, Journal or magazine article edition: Empirical Tests of Models of Catastrophe Insurance Futures Knut Aase; Bernt-Arne Ødegaard

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Bookmark: http://trove.nla.gov.au/version/190430
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Empirical Tests of Models of Catastrophe Insurance Futures
Author
  • Knut Aase
  • Bernt-Arne Ødegaard
Physical Description
  • preprint
Notes
  • The authors empirically investigate models of insurance futures derivatives contracts. In the fall of 1993 the Chicago Board of Trade (CBOT) started trading a contract designed to scrutinize catastrophic risk, which is currently done in the reinsurance markets. There are obvious advantages to trading on organized exchanges (standardization, liquidity, much reduced credit risk, etc.) as opposed to OTC markets. There has so far been little academic on these contracts. In this paper we look at the price history for the first two years within the context of a pricing model of Aase [1995]. This paper was presented at the Financial Institutions Center's May 1996 conference on "
  • RePEc:wop:pennin:96-18
Language
  • English
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