Diversification through Catastrophe Bonds: Lessons from the Subprime Financial Crisis
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- Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
- Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Abdul Halim, 2023. "Catastrophe Bond Diversification Strategy Using Probabilistic–Possibilistic Bijective Transformation and Credibility Measures in Fuzzy Environment," Mathematics, MDPI, vol. 11(16), pages 1-30, August.
- Mihovil Anðelinoviæ & Filip Škunca, 2023. "Optimizing insurers investment portfolios: incorporating alternative investments," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 41(2), pages 361-389.
- Trottier, Denis-Alexandre & Lai, Van Son & Godin, Frédéric, 2019.
"A characterization of CAT bond performance indices,"
Finance Research Letters, Elsevier, vol. 28(C), pages 431-437.
- Denis-Alexandre Trottier & Van Son Lai & Frédéric Godin, 2020. "A Characterization of CAT Bond Performance Indices," Working Papers 2020-008, Department of Research, Ipag Business School.
- Alexis Louaas & Pierre Picard, 2014.
"Optimal Insurance For Catastrophic Risk: Theory And Application To Nuclear Corporate Liability,"
Working Papers
hal-01097897, HAL.
- Alexis Louaas & Pierre Picard, 2017. "Optimal insurance for catastrophic risk: theory and application to nuclear corporate liability," Working Papers hal-01527478, HAL.
- Karl Demers‐Bélanger & Van Son Lai, 2020.
"Diversification benefits of cat bonds: An in‐depth examination,"
Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
- Karl Demers-Bélanger & Van Son Lai, 2019. "Diversification Benefits of Cat Bonds: An In-Depth Examination," Working Papers 2019-008, Department of Research, Ipag Business School.
- Tobias Götze & Marc Gürtler, 2022. "Risk transfer beyond reinsurance: the added value of CAT bonds," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(1), pages 125-171, January.
- Drobetz, Wolfgang & Schröder, Henning & Tegtmeier, Lars, 2020. "The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?," Finance Research Letters, Elsevier, vol. 33(C).
- Eckhard Platen & David Taylor, 2016.
"Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts,"
Papers
1610.09875, arXiv.org.
- Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Research Paper Series 379, Quantitative Finance Research Centre, University of Technology, Sydney.
- Martin Eling & Ruo Jia, 2017. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2014 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 63-77, March.
- Peter Carayannopoulos & Olga Kanj & M. Fabricio Perez, 2022. "Pricing dynamics in the market for catastrophe bonds," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(1), pages 172-202, January.
- Adlane Haffar & Éric Le Fur, 2022. "Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 297-309, July.
- Fabio Pizzutilo & Elisabetta Venezia, 2018. "Are catastrophe bonds effective financial instruments in the transport and infrastructure industries? Evidence from international financial markets," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(2), pages 256-267, April.
- Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019.
"Valuation of contingent convertible catastrophe bonds — The case for equity conversion,"
Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
- Krzysztof Burnecki & Mario Nicol'o Giuricich & Zbigniew Palmowski, 2018. "Valuation of contingent convertible catastrophe bonds - the case for equity conversion," Papers 1804.07997, arXiv.org.
- Alexis Louaas & Pierre Picard, 2022.
"Optimal Nuclear Liability Insurance,"
The Energy Journal, , vol. 43(1), pages 97-115, January.
- Alexis Louaas and Pierre Picard, 2022. "Optimal Nuclear Liability Insurance," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
- Alexis Louaas & Pierre Picard, 2019. "Optimal nuclear liability insurance," Working Papers hal-01996648, HAL.
- Morana, Claudio & Sbrana, Giacomo, 2019. "Climate change implications for the catastrophe bonds market: An empirical analysis," Economic Modelling, Elsevier, vol. 81(C), pages 274-294.
- Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
- Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
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