Imperial College London
Alternate

ProfessorRustamIbragimov

Business School

Professor of Finance and Econometrics
 
 
 
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Contact

 

+44 (0)20 7594 9344i.rustam Website CV

 
 
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Location

 

40953 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Ibragimov:2009:rfs/hhn021,
author = {Ibragimov, R and Jaffee, D and Walden, J},
doi = {rfs/hhn021},
journal = {Review of Financial Studies},
pages = {959--993},
title = {Nondiversification traps in catastrophe insurance markets},
url = {http://dx.doi.org/10.1093/rfs/hhn021},
volume = {22},
year = {2009}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We develop a model for markets for catastrophic risk. The model explains why insurance providers may choose not to offer insurance for catastrophic risks and not to participate in reinsurance markets, even though there is a large enough market capacity to reach full risk sharing through diversification in a reinsurance market. This is a “nondiversification trap.” We show that nondiversification traps may arise when risk distributions have heavy left tails and insurance providers have limited liability. When they are present, there may be a coordination role for a centralized agency to ensure that risk sharing takes place.
AU  - Ibragimov,R
AU  - Jaffee,D
AU  - Walden,J
DO  - rfs/hhn021
EP  - 993
PY  - 2009///
SN  - 0893-9454
SP  - 959
TI  - Nondiversification traps in catastrophe insurance markets
T2  - Review of Financial Studies
UR  - http://dx.doi.org/10.1093/rfs/hhn021
UR  - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000263425100002&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
UR  - http://hdl.handle.net/10044/1/67783
VL  - 22
ER  -
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