The Market for Catastrophe Risk: A Clinical Examination
研究巨灾事件风险市场，以USAA的几笔交易为例，发现该市场存在两个谜题：缺乏对最严重事件的覆盖，且保费远高于精算价值。作者探讨了资本市场不完善和再保险公司市场势力等解释。
This paper examines the market for catastrophe event risk – i.e., financial claims that are linked to losses associated with natural hazards, such as hurricanes and earthquakes. This market is in transition as new approaches for transferring risk are being explored. The paper studies several recent transactions by USAA which use reinsurance capacity from capital markets, rather than only from reinsurers. We identify two puzzles concerning the cat protection purchased in these transactions: there is no coverage for the largest, most severe events; and premiums appear well above actuarial value. We demonstrate that both features deviate from what theory would predict and are characteristic of the entire marketplace, not simply the USAA transactions. We then explore a number of possible explanations for the facts. The most compelling explanations seem to be a combination of capital market imperfections and market power on the part of reinsurers. Conclusions for broader capital market and risk management issues are discussed.