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Accuracy of premium calculation models for CAT bonds: an empirical analysis

[working paper]

Galeotti, Marcello; Gürtler, Marc; Winkelvos, Christine

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Please use the following Persistent Identifier (PID) to cite this document:http://hdl.handle.net/10419/55239

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Corporate Editor Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
Abstract "CAT bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models in order to compare them with regard to their predictive power. Without taking the financial crisis into account, a version of the Wang transformation model and the linear model are the most accurate ones. In contrast, under consideration of the financial crisis, all analyzed models are approximately equivalent. Furthermore, we find that CAT bond specific information does not improve out-of-sample results." (author's abstract)
Keywords calculation; risk; financial crisis; economic crisis; research; empirical research; analysis
Classification Economic Policy
Document language English
Publication Year 2009
City Braunschweig
Page/Pages 36 p.
Series IF Working Paper Series, IF29V3
Licence Deposit Licence - No Redistribution, No Modifications
data provider This metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne