Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events

Elroi Hadad, Tomer Shushi, Rami Yosef

Research output: Contribution to journalArticlepeer-review


This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies providing a conservative framework that deals with the fundamental question of how much money should a government hold to prepare for natural or human-made extreme risk events that the government will cover? Although the ruin theory is commonly used for extreme risk events, we suggest a new risk measure to deal with such events in a new framework based on multivariate risk measures. We analyze the results for the log-elliptical model of dependent claims, which are commonly used in risk analysis, and illustrate our novel risk measure using a Monte Carlo simulation.

Original languageEnglish
Article number50
Issue number3
StatePublished - 1 Mar 2023


  • catastrophic events
  • financial simulation
  • loss retention
  • reinsurance claim
  • reinsurance policy
  • risk management

ASJC Scopus subject areas

  • Accounting
  • Economics, Econometrics and Finance (miscellaneous)
  • Strategy and Management


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