Ryzyko uruchomienia rezerw katastroficznych
The risk of using catastrophic reserves

Summary/Abstract: In the context of the CAT bond valuation the article refers to the management of insurance risk of catastrophic nature taking into account the possible broad determinants of such a risk. There is here a kind of catastrophic risk protection transferred to capital markets in a particular transaction as a hedge against natural disaster occurrence. Redemption takes place in such an occurrence. The basis of discussions are then financial instruments, whose use in the process of insurance company management is to securitize the catastrophic risk securitization. In the second approach to the use of formal procedures used in this aspect, the realities of the analyzed insurance risk refer to the damages process and risk measures expressed probabilistically. Practical considerations and the ability to translate the formal considerations regarding damage process into claim process decided about the change of perspective on this aspect of insurance risk. In the proposed approach the assessment refers to the risk to achieve a critical level for the initiation of reserves created for the payment of damages in catastrophic conditions, regardless of how these reserves have been accumulated. To develop these issues it is necessary to consider the implementation of high-risk reserves, which is usually modeled by α–stable distributions.

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