Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/55239 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorGaleotti, Marcelloen
dc.contributor.authorGürtler, Marcen
dc.contributor.authorWinkelvos, Christineen
dc.date.accessioned2012-02-08-
dc.date.accessioned2012-02-10T15:38:44Z-
dc.date.available2012-02-10T15:38:44Z-
dc.date.issued2009-
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
dc.language.isogeren
dc.publisher|aTechnische Universität Braunschweig, Institut für Finanzwirtschaft |cBraunschweigen
dc.relation.ispartofseries|aWorking Paper Series |xIF29V4en
dc.subject.jelG13en
dc.subject.jelG22en
dc.subject.ddc330en
dc.subject.keywordCAT Bondsen
dc.subject.keywordAlternative Risk Transferen
dc.subject.keywordPremium Calculation Modelsen
dc.subject.keywordEmpirical Analysisen
dc.titleAccuracy of premium calculation models for CAT bonds: An empirical analysis-
dc.typeWorking Paperen
dc.identifier.ppn684929015en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tbsifw:IF29V4en

Files in This Item:
File
Size
331.15 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.