2022
DOI: 10.1108/jrf-06-2021-0103
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The impact of counterparty risk on the basis risk of industry loss warranties and on (collateralized) reinsurance under (non-)linear dependence structures

Abstract: PurposeThe purpose of this article is to investigate the impact of counterparty risk on the basis risk of industry loss warranties as well as on reinsurance with and without collateral under different dependence structures. The authors additionally compare the solvency and Sharpe ratio for different premium loadings and contract parameters.Design/methodology/approachThe authors propose a model framework extension to account for the counterparty risk of risk transfer arrangements. Copulas are used to also take … Show more

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