Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/55239 
Year of Publication: 
2009
Series/Report no.: 
Working Paper Series No. IF29V4
Publisher: 
Technische Universität Braunschweig, Institut für Finanzwirtschaft, Braunschweig
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

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