Catastrophe insurance markets fail to provide sufficient protections against natural catastrophes, whereas they have the capacity to absorb the losses. In this paper, we assume the catastrophic risks are dependent and extremely heavy-tailed, and insurers have limited liability to cover losses up to a certain amount. We provide a comprehensive study to show that the diversification in the catastrophe insurance markets can be transited from suboptimal to preferred by increasing the number of insurers in the market. This highlights the importance of coordination among insurers and the government intervention in encouraging insurers to participate in the catastrophe insurance market to exploit risk sharing. Simulation studies are provided to illuminate the key findings of our results.

巨灾保险市场未能针对自然灾害提供足够的保护，但它们有能力吸收损失。在本文中，我们假设巨灾风险具有依赖性和极重尾风险，保险公司对一定数额的损失承担有限责任。我们提供了一项全面的研究，以表明通过增加市场上的保险公司数量，巨灾保险市场的多元化可以从次优转变为首选。这凸显了保险公司之间协调和政府干预在鼓励保险公司参与巨灾保险市场以利用风险分担方面的重要性。提供了模拟研究来阐明我们结果的主要发现。