Portfolio Allocation and Alternative Structures of the Standard Reinsurance Agreement
This paper examines how insurance companies participating in delivery of crop insurance would change patterns of portfolio allocation across reinsurance funds in reaction to the 2005 Standard Reinsurance Agreement. The returns of insurance companies under the SRA are calculated using a simulation mo...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Western Agricultural Economics Association
2006-04-01
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| Series: | Journal of Agricultural and Resource Economics |
| Subjects: | |
| Online Access: | https://ageconsearch.umn.edu/record/10145 |
| _version_ | 1818126425478135808 |
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| author | Dmitry V. Vedenov Mario J. Miranda Robert Dismukes Joseph W. Glauber |
| author_facet | Dmitry V. Vedenov Mario J. Miranda Robert Dismukes Joseph W. Glauber |
| author_sort | Dmitry V. Vedenov |
| collection | DOAJ |
| description | This paper examines how insurance companies participating in delivery of crop insurance would change patterns of portfolio allocation across reinsurance funds in reaction to the 2005 Standard Reinsurance Agreement. The returns of insurance companies under the SRA are calculated using a simulation model. An heuristic allocation rule is introduced in order to imitate portfolio allocation strategies of participating companies. The main conclusion of the analysis is that the bulk of changes in portfolio allocations are likely to be caused by the introduction of "retained net book quota share" reinsurance rather than adjustments in the cession limits and retention requirements for the Assigned Risk Fund. |
| first_indexed | 2024-12-11T07:01:15Z |
| format | Article |
| id | doaj.art-633ab929046f4b77bf23a26e6c9b1097 |
| institution | Directory Open Access Journal |
| issn | 1068-5502 2327-8285 |
| language | English |
| last_indexed | 2024-12-11T07:01:15Z |
| publishDate | 2006-04-01 |
| publisher | Western Agricultural Economics Association |
| record_format | Article |
| series | Journal of Agricultural and Resource Economics |
| spelling | doaj.art-633ab929046f4b77bf23a26e6c9b10972022-12-22T01:16:36ZengWestern Agricultural Economics AssociationJournal of Agricultural and Resource Economics1068-55022327-82852006-04-01311577310.22004/ag.econ.1014510145Portfolio Allocation and Alternative Structures of the Standard Reinsurance AgreementDmitry V. VedenovMario J. MirandaRobert DismukesJoseph W. GlauberThis paper examines how insurance companies participating in delivery of crop insurance would change patterns of portfolio allocation across reinsurance funds in reaction to the 2005 Standard Reinsurance Agreement. The returns of insurance companies under the SRA are calculated using a simulation model. An heuristic allocation rule is introduced in order to imitate portfolio allocation strategies of participating companies. The main conclusion of the analysis is that the bulk of changes in portfolio allocations are likely to be caused by the introduction of "retained net book quota share" reinsurance rather than adjustments in the cession limits and retention requirements for the Assigned Risk Fund.https://ageconsearch.umn.edu/record/10145crop insuranceportfolio allocation strategiesreinsurance fundsstandard reinsurance agreement |
| spellingShingle | Dmitry V. Vedenov Mario J. Miranda Robert Dismukes Joseph W. Glauber Portfolio Allocation and Alternative Structures of the Standard Reinsurance Agreement Journal of Agricultural and Resource Economics crop insurance portfolio allocation strategies reinsurance funds standard reinsurance agreement |
| title | Portfolio Allocation and Alternative Structures of the Standard Reinsurance Agreement |
| title_full | Portfolio Allocation and Alternative Structures of the Standard Reinsurance Agreement |
| title_fullStr | Portfolio Allocation and Alternative Structures of the Standard Reinsurance Agreement |
| title_full_unstemmed | Portfolio Allocation and Alternative Structures of the Standard Reinsurance Agreement |
| title_short | Portfolio Allocation and Alternative Structures of the Standard Reinsurance Agreement |
| title_sort | portfolio allocation and alternative structures of the standard reinsurance agreement |
| topic | crop insurance portfolio allocation strategies reinsurance funds standard reinsurance agreement |
| url | https://ageconsearch.umn.edu/record/10145 |
| work_keys_str_mv | AT dmitryvvedenov portfolioallocationandalternativestructuresofthestandardreinsuranceagreement AT mariojmiranda portfolioallocationandalternativestructuresofthestandardreinsuranceagreement AT robertdismukes portfolioallocationandalternativestructuresofthestandardreinsuranceagreement AT josephwglauber portfolioallocationandalternativestructuresofthestandardreinsuranceagreement |