catastrophic events parameter uncertainty and the breakdown of implicit long term contracting in insurance market case terrorism october 21 2002 j david cummins christopher m lewis wharton school managing director university pennsylvania fitch risk management inc 3641 locust walk 500 west putnam avenue philadelphia pa 19104 greenwich ct 06830 215 898 5644 203 618 5132 upenn edu chris fitchrisk com authors thank neil doherty kip viscusi for helpful comments acknowledge excellent research assistance ran wei accept responsibility all errors omissions abstract this paper examines reaction stock prices us property casualty insurers to world trade center wtc terrorist attack september 11 2001 theories equilibrium predict that large loss which deplete capital increase will affect weakly capitalized more significantly than stronger firms empirical results are consistent with prediction generally declined following however
