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Title:The impact of the financial crisis and natural catastrophes on CAT bonds PDF Logo
Authors:Gürtler, M.
Hibbeln, M.
Winkelvos, C.
Issue Date:2012
Series/Report no.:Working Papers, Institut für Finanzwirtschaft, Technische Universität Braunschweig IF40V1
Abstract:CAT bonds are important instruments for the insurance of catastrophe risk. Due to a low degree of deal standardization, there is uncertainty about the determination of the CAT bond premium. In addition, it is not apparent how CAT bonds react after the financial crisis or a natural catastrophe. We empirically verify which factors determine the CAT bond premium and what effects arise if a catastrophe occurs. On a broad data set using secondary market premiums we find strong evidence that the recent financial crisis has a significant impact on CAT bond premiums. Furthermore, we find that after hurricane Katrina an increased risk perception for hurricanes can be observed.
Subjects:CAT bonds
financial crisis
catastrophe events
risk premium
JEL:G01
G22
Document Type:Working Paper
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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