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dc.contributor.authorGaleotti, Marcelloen_US
dc.contributor.authorGürtler, Marcen_US
dc.contributor.authorWinkelvos, Christineen_US
dc.date.accessioned2012-02-08en_US
dc.date.accessioned2012-02-10T15:38:44Z-
dc.date.available2012-02-10T15:38:44Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/55239-
dc.description.abstractCAT 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.en_US
dc.language.isogeren_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig IF29V4en_US
dc.subject.jelG13en_US
dc.subject.jelG22en_US
dc.subject.ddc330en_US
dc.subject.keywordCAT Bondsen_US
dc.subject.keywordAlternative Risk Transferen_US
dc.subject.keywordPremium Calculation Modelsen_US
dc.subject.keywordEmpirical Analysisen_US
dc.titleAccuracy of premium calculation models for CAT bonds: An empirical analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684929015en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tbsifw:IF29V4-
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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