Insurability of pandemic risks
分析了私人市场提供大流行保险的可行性，通过理论框架和实证校准，发现大流行保险的价格加成与自然灾害保险市场的高端水平相当，并提出了跨期风险分担方案可将损失分布的预期缺口降低50%。
Abstract This paper analyzes the scope of the private market for pandemic insurance. We develop a framework that explains theoretically how the equilibrium price of pandemic insurance depends on accumulation risk, covariance between pandemic claims and other claims, and covariance between pandemic claims and the stock market performance. Using the natural catastrophe (NatCat) insurance market as a laboratory, we estimate the relationship between the insurance price markup and the tail characteristics of the loss distribution. Then, by using the high‐frequency data tracking the economic impact of the COVID‐19 pandemic in the United States, we calibrate the loss distribution of a hypothetical insurance contract designed to alleviate the impact of the pandemic on small businesses. The pandemic insurance contract price markup corresponds to the top 20% markup observed in the NatCat insurance market. Then we analyze an intertemporal risk‐sharing scheme that can reduce the expected shortfall of the loss distribution by 50%.