November 26, 1996. Also published in The Risk Financier, May 1997.
Three
times in the last ten years, annual aggregate catastrophic losses for
the entire US, as measured by PCS, have exceeded $8 billion* (1994, $16
billion; 1992, $27 billion; and 1989, $14 billion). Prior to 1989 no
year’s aggregate exceeded that level. In 1995, losses approached $7.8
billion. Losses for the first eleven months of 1996 are $6.8 billion.
Actual numbers are illustrated in the graph on the following page.
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Strategy for the Grand National |
November 12, 1996.
Introduction of the new National Annual PCS contract (October 7, 1996) makes for some interesting trading opportunities.
Consider the following trade:
Sell the 1997 National Annual 80/100 call spread at 9.0 points
Buy the 1997 Western Annual 80/100 call spread for 2.1 points
Buy the 1997 Eastern Third Quarter 80/100 for 2.5 points
for a credit for the position of 4.4 points.
QUESTION: Is a 22% RoL enough return for the non-western, non-hurricane quarter U.S. annual aggregate risk?
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Perfume of the Premium... |
or Pricing Insurance Derivatives, recorded in the proceedings of the
1995 Bowles Symposium, Georgia State University, Atlanta, Georgia.
(March 1995)
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