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Title:Accuracy of premium calculation models for CAT bonds: An empirical analysis PDF Logo
Authors:Galeotti, Marcello
Gürtler, Marc
Winkelvos, Christine
Issue Date:2009
Series/Report no.:Working papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig IF29V4
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.
Subjects:CAT Bonds
Alternative Risk Transfer
Premium Calculation Models
Empirical Analysis
JEL:G13
G22
Document Type:Working Paper
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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