A random forest based approach for predicting spreads in the primary catastrophe bond market
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mathieu Gatumel & Dominique Guegan, 2008.
"Towards an understanding approach of the insurance linked securities market,"
Documents de travail du Centre d'Economie de la Sorbonne
b08006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Mathieu Gatumel & Dominique Guegan, 2008. "Towards an understanding approach of the insurance linked securities market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00235354, HAL.
- Marcello Galeotti & Marc Gürtler & Christine Winkelvos, 2013. "Accuracy of Premium Calculation Models for CAT Bonds—An Empirical Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 401-421, June.
- Mathieu Gatumel & Dominique Guegan, 2008. "Towards an understanding approach of the insurance linked securities market," Post-Print halshs-00235354, HAL.
- Alexander Braun, 2016. "Pricing in the Primary Market for Cat Bonds: New Empirical Evidence," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 811-847, December.
- Lane, Morton & Mahul, Olivier, 2008. "Catastrophe risk pricing : an empirical analysis," Policy Research Working Paper Series 4765, The World Bank.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Tobias Götze & Marc Gürtler & Eileen Witowski, 0. "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-19.
- Tobias Götze & Marc Gürtler & Eileen Witowski, 2020. "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 428-446, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Makariou, Despoina & Barrieu, Pauline & Chen, Yining, 2021. "A random forest based approach for predicting spreads in the primary catastrophe bond market," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 140-162.
- Makariou, Despoina & Barrieu, Pauline & Chen, Yining, 2021. "A random forest based approach for predicting spreads in the primary catastrophe bond market," LSE Research Online Documents on Economics 111529, London School of Economics and Political Science, LSE Library.
- Götze, Tobias & Gürtler, Marc, 2020. "Hard markets, hard times: On the inefficiency of the CAT bond market," Journal of Corporate Finance, Elsevier, vol. 62(C).
- 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.
- Götze, Tobias & Gürtler, Marc, 2020. "Risk transfer and moral hazard: An examination on the market for insurance-linked securities," Journal of Economic Behavior & Organization, Elsevier, vol. 180(C), pages 758-777.
- Markus Herrmann & Martin Hibbeln, 2023. "Trading and liquidity in the catastrophe bond market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 283-328, June.
- Chatoro, Marian & Mitra, Sovan & Pantelous, Athanasios A. & Shao, Jia, 2023. "Catastrophe bond pricing in the primary market: The issuer effect and pricing factors," International Review of Financial Analysis, Elsevier, vol. 85(C).
- Tobias Götze & Marc Gürtler & Eileen Witowski, 2020. "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 428-446, September.
- David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017.
"Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
- David Blake & Marco Morales, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 273-277, April.
- David Blake & Marco Morales & Hua Chen & Richard D. MacMinn & Tao Sun, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 393-415, April.
- David Blake & Marco Morales & Hong Li & Anja Waegenaere & Bertrand Melenberg, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 459-475, April.
- David Blake & Marco Morales & Kenneth Q. Zhou & Johnny Siu-Hang Li, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 417-437, April.
- David Blake & Marco Morales & Jing Ai & Patrick L. Brockett & Linda L. Golden & Wei Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 319-343, April.
- David Blake & Marco Morales & Yijia Lin & Richard D. MacMinn & Ruilin Tian & Jifeng Yu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 345-365, April.
- David Blake & Marco Morales & Richard MacMinn & Patrick Brockett, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 299-317, April.
- David Blake & Marco Morales & Richard D. MacMinn & Nan Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 439-458, April.
- David Blake & Marco Morales & David Blake & Marco Morales, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 279-297, April.
- David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
- David Blake & Marco Morales & Andreas Milidonis & Maria Efthymiou, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 495-514, April.
- David Blake & Marco Morales & Yijia Lin & Tianxiang Shi & Ayşe Arik, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 367-392, April.
- Zhao, Yang & Yu, Min-Teh, 2019. "Measuring the liquidity impact on catastrophe bond spreads," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 197-210.
- Markus Herrmann & Martin Hibbeln, 2021. "Seasonality in catastrophe bonds and market‐implied catastrophe arrival frequencies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(3), pages 785-818, September.
- John A. Major, 2019. "Methodological Considerations in the Statistical Modeling of Catastrophe Bond Prices," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(1), pages 39-56, March.
- Braun, Alexander & Ben Ammar, Semir & Eling, Martin, 2019.
"Asset pricing and extreme event risk: Common factors in ILS fund returns,"
Journal of Banking & Finance, Elsevier, vol. 102(C), pages 59-78.
- Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2016. "Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns," Working Papers on Finance 1621, University of St. Gallen, School of Finance.
- Mathieu Gatumel & Dominique Guegan, 2008. "Dynamic Analysis of the Insurance Linked Securities Index," Post-Print halshs-00320378, HAL.
- Marc Gürtler & Martin Hibbeln & Christine Winkelvos, 2016. "The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 579-612, September.
- Krzysztof Burnecki & Mario Nicoló Giuricich, 2017. "Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing," Risks, MDPI, vol. 5(4), pages 1-19, December.
- 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.
- Morton Lane, 2024. "The ILS loss experience: natural catastrophe issues 2001–2020," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(1), pages 97-137, January.
- Stupfler, Gilles & Yang, Fan, 2018.
"Analyzing And Predicting Cat Bond Premiums: A Financial Loss Premium Principle And Extreme Value Modeling,"
ASTIN Bulletin, Cambridge University Press, vol. 48(1), pages 375-411, January.
- Gilles Stupfler & Fan Yang, 2018. "Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value Modeling," Post-Print hal-04464416, HAL.
- Zhao, Yang & Yu, Min-Teh, 2020. "Predicting catastrophe risk: Evidence from catastrophe bond markets," Journal of Banking & Finance, Elsevier, vol. 121(C).
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2020-02-24 (Big Data)
- NEP-CMP-2020-02-24 (Computational Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2001.10393. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.