A Rational Approach to Pricing of Catastrophe Insurance

Weimin Dong, Haresh Shah and Felix Wong

Journal of Risk and Uncertainty, 1996, vol. 12, issue 2-3, 18 pages

Abstract: A methodology for rational pricing of catastrophe insurance is described. The methodology has two components: a solvency- and stability-based framework, and an engine to quantify the loss variability that drives solvency and stability. Generalization to account for contagious effects of catastrophes and multiple occurrence of peril is presented in detail. Copyright 1996 by Kluwer Academic Publishers

Date: 1996
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