This paper presents a theoretical and empirical analysis of the capacity of the US property–liability insurance industry to finance catastrophic property losses in the 100 billion range. In our theoretical analysis, we show that the sufficient condition for capacity maximization, given a level of total resources in the industry, is for all insurers to hold a net of reinsurance underwriting portfolio which is perfectly correlated with aggregate industry losses. This result leads to a natural definition of industry capacity as the amount of industry resources that are deliverable conditional on an industry loss of a given size. Estimating capacity using insurer financial statement data, we find that the industry could adequately fund a 100 billion event. However, such an event would cause numerous insolvencies and severely destabilize insurance markets.