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Accuracy of premium calculation models for CAT bonds: an empirical analysis
[working paper]
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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 predict... view more
"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)... view less
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
Handle
https://hdl.handle.net/10419/55239
Status
reviewed
Licence
Deposit Licence - No Redistribution, No Modifications
Data providerThis metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne