Abstract
A methodology for rational pricing of catastrophe insurance is described. The methodology has two components: a solvency- and stability-based pricing 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.
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Dong, W., Shah, H. & Wong, F. A rational approach to pricing of catastrophe insurance. J Risk Uncertainty 12, 201–218 (1996). https://doi.org/10.1007/BF00055794
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DOI: https://doi.org/10.1007/BF00055794