Catastrophe reinsurance and risk capital in the wake of the credit crisis

Abstract

Purpose – Property and casualty (“PC and external risk capital provided by third parties. The paper also explores the distinctions between four types of external catastrophe risk capital: reinsurance, industry loss warranties, catastrophe derivatives, and insurance‐linked securities. Finally, how the credit crisis has impacted alternative sources of catastrophe risk capital in different ways is considered.Design/methodology/approach – The discussion is based on the conceptual framework for analyzing risk capital developed by Merton and Perold.Findings – In 2008, the P&C insurance industry was...