Portfolio Allocation and Alternative Structures of the Standard Reinsurance Agreement

Dmitry Vedenov, Mario Miranda (), Robert Dismukes and Joseph W. Glauber

Journal of Agricultural and Resource Economics, 2006, vol. 31, issue 01, 17

Abstract: This paper examines how insurance companies participating in delivery of crop insurance would change patterns of portfolio allocation across reinsurance funds in reaction to the 2005 Standard Reinsurance Agreement. The returns of insurance companies under the SRA are calculated using a simulation model. An heuristic allocation rule is introduced in order to imitate portfolio allocation strategies of participating companies. The main conclusion of the analysis is that the bulk of changes in portfolio allocations are likely to be caused by the introduction of "retained net book quota share" reinsurance rather than adjustments in the cession limits and retention requirements for the Assigned Risk Fund.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Portfolio Allocation and Alternative Structures of the Standard Reinsurance Agreement (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:jlaare:10145

DOI: 10.22004/ag.econ.10145

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