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Technische Universität Braunschweig >
Institut für Finanzwirtschaft, Technische Universität Braunschweig >
Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig >
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http://hdl.handle.net/10419/55239
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| Title: | | Accuracy of premium calculation models for CAT bonds: An empirical analysis  |
| 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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