Empirical Tests of Models of Catastrophe Insurance Futures

Knut Aase and Bernt Ødegaard

Center for Financial Institutions Working Papers from Wharton School Center for Financial Institutions, University of Pennsylvania

Abstract: 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 "

Date: 1996-05
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