Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/55239 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Working Paper Series No. IF29V4
Verlag: 
Technische Universität Braunschweig, Institut für Finanzwirtschaft, Braunschweig
Zusammenfassung: 
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.
Schlagwörter: 
CAT Bonds
Alternative Risk Transfer
Premium Calculation Models
Empirical Analysis
JEL: 
G13
G22
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
331.15 kB





Publikationen in EconStor sind urheberrechtlich geschützt.