Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class

Robert H. Litzenberger; David R. Beaglehole; Craig E. Reynolds

doi:10.3905/jpm.1996.076

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Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class

Robert H. Litzenberger, David R. Beaglehole and Craig E. Reynolds

The Journal of Portfolio Management A Tribute to Fischer Black 1996, 23 (5) 76-86; DOI: https://doi.org/10.3905/jpm.1996.076

Robert H. Litzenberger

is a vice president and the director of derivative research and quantitative modeling

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David R. Beaglehole

is a vice president

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Craig E. Reynolds

is an analyst in the Fixed Income Research Department at Goldman, Sachs & Co. in New York (NY 10004).

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Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class

Robert H. Litzenberger, David R. Beaglehole, Craig E. Reynolds

The Journal of Portfolio Management Aug 1997, 23 (5) 76-86; DOI: 10.3905/jpm.1996.076

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Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class

Robert H. Litzenberger, David R. Beaglehole, Craig E. Reynolds

The Journal of Portfolio Management Aug 1997, 23 (5) 76-86; DOI: 10.3905/jpm.1996.076

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