Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195393 
Year of Publication: 
2017
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 24 [Publisher:] Universidad Pablo de Olavide [Place:] Sevilla [Year:] 2017 [Pages:] 340-361
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract (Translated): 
This paper develops a continuous-time random model of loss index triggers for cat bonds on the basis of the loss amount incurred until their maturity. Assuming that total loss amount due to a catastrophe is defined as the sum of the incurred loss amount plus the incurred-but-not-yet reported loss amount, we model the decreasing linear dynamics of the latter amount by means of an additive Brownian process (or Ornstein Uhlenbeck process); and get the former by the difference between the total loss amount and the incurred-but-not-yet-reported loss amount. Finally, we test the validity of the model by estimating its core parameters and by contrasting the goodness of fit through a data series of six floods occurred in several Spanish cities prone to suffer such kind of catastrophes.
Subjects: 
catastrophe bonds
incurred-but-not-yet-reported loss amount
incurred loss amount
claim reporting rate
loss index trigger
Ornstein- Uhlenbeck process
JEL: 
C51
C52
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

Files in This Item:
File
Size
762.58 kB





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