Journal of Risk
ISSN:
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Need to know
- This paper introduces disaster insurance swaps.
- A new contract to help insurance and reinsurance companies hedge extreme-weather-related liabilities.
- We also explain some of the ways writers of DIS contracts can hedge their exposures.
Abstract
This paper introduces a new type of contract, disaster insurance swaps (DISs), which can help insurance and reinsurance companies hedge their extreme-weather-related liabilities. An expression for the prices of such contracts is derived that is relatively straightforward to evaluate. The paper also explains some of the ways writers of DIS contracts can hedge their exposures.
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