TY  - JOUR
A1  - Gründl, Helmut
A1  - Guxha, Danjela
A1  - Kartasheva, Anastasia
A1  - Schmeiser, Hato
T1  - Insurability of pandemic risks
T2  - The journal of risk & insurance
N2  - 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%.
KW  - catastrophe risk transfer
KW  - pandemic insurance
KW  - private–public partnerships
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/75020
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-750208
SN  - 1539-6975
N1  - JEL-Klassifikation: 	
H Public Economics / H8	Miscellaneous Issues / H84 Disaster Aid
N1  - Open Access funding enabled and organized by Projekt DEAL.
VL  - 88
IS  - 4
SP  - 863
EP  - 902
PB  - American Risk and Insurance Ass. ; Wiley-Blackwell
CY  - Malvern, Pa. ; Malden, Mass. [u.a.]
ER  -