| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6011 |
| 来源ID | Working Paper 6011 |
| On The Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance | |
| Kenneth A. Froot; Paul G. J. O'; Connell | |
| 发表日期 | 1997-04-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | We model the equilibrium price and quantity of risk transfer between firms and financial intermediaries. Value-maximizing firms have downward sloping demands to cede risk, while intermediaries, who assume risk, provide less-than-fully-elastic supply. We show that equilibrium required returns will be high' in the presence of financing imperfections that make intermediary capital costly. Moreover, financing imperfections can give rise to intermediary market power, so that small changes in financial imperfections can give rise to large changes in price. We develop tests of this alternative against the null that the supply of intermediary capital is perfectly elastic. We take the US catastrophe reinsurance market as an example, using detailed data from Guy Carpenter & Co., covering a large fraction of the catastrophe risks exchanged during 1970-94. Our results suggest that the price of reinsurance generally exceeds fair' values, particularly in the aftermath of large events, that market power of reinsurers is not a complete explanation for such pricing, and that reinsurers' high costs of capital appear to play an important role. |
| 主题 | International Economics |
| URL | https://www.nber.org/papers/w6011 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563515 |
| 推荐引用方式 GB/T 7714 | Kenneth A. Froot,Paul G. J. O',Connell. On The Pricing of Intermediated Risks: Theory and Application to Catastrophe Reinsurance. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6011.pdf（437KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
