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Catastrophe risk pricing : an empirical analysis

Citations

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Cited by:

  1. J. David Cummins & Mary A. Weiss, 2009. "Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk‐Transfer Solutions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 493-545, September.
  2. 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.
  3. 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).
  4. Torsten Heinrich & Juan Sabuco & J. Doyne Farmer, 2022. "A simulation of the insurance industry: the problem of risk model homogeneity," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 535-576, April.
  5. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
  6. 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.
  7. 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.
  8. Alexis Louaas & Pierre Picard, 2022. "Optimal Nuclear Liability Insurance," The Energy Journal, , vol. 43(1), pages 97-115, January.
  9. 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.
  10. Gürtler, M. & Hibbeln, M. & Winkelvos, C., 2012. "The impact of the financial crisis and natural catastrophes on CAT bonds," Working Papers IF40V1, Technische Universität Braunschweig, Institute of Finance.
  11. 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.
  12. Stylianos Perrakis & Ali Boloorforoosh, 2018. "Catastrophe futures and reinsurance contracts: An incomplete markets approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 104-128, January.
  13. 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).
  14. Chang, Carolyn W. & Wang, Yu-Jen & Yu, Min-Teh, 2020. "Catastrophe bond spread and hurricane arrival frequency," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  15. Alexis Louaas & Pierre Picard, 2014. "Optimal Insurance For Catastrophic Risk: Theory And Application To Nuclear Corporate Liability," Working Papers hal-01097897, HAL.
  16. Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
  17. Zhao, Yang & Yu, Min-Teh, 2020. "Predicting catastrophe risk: Evidence from catastrophe bond markets," Journal of Banking & Finance, Elsevier, vol. 121(C).
  18. Bjoern Hagendorff & Jens Hagendorff & Kevin Keasey, 2013. "The Shareholder Wealth Effects of Insurance Securitization: Preliminary Evidence from the Catastrophe Bond Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(3), pages 281-301, December.
  19. Denis-Alexandre Trottier & Van Son Lai & Anne-Sophie Charest, 2017. "CAT Bond Spreads Via HARA Utility and Nonparametric Tests," Working Papers 2017-002, Department of Research, Ipag Business School.
  20. 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.
  21. 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.
  22. 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.
  23. Simon Dietz & Falk Niehörster, 2021. "Pricing ambiguity in catastrophe risk insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 46(2), pages 112-132, September.
  24. 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.
  25. 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.
  26. Massimo Mariani & Paola Amoruso & Raffaele Didonato & Alessandra Caragnano, 2018. "The Drivers of Cat Bond Spread in the Primary Market," International Journal of Business and Management, Canadian Center of Science and Education, vol. 13(2), pages 1-65, January.
  27. Despoina Makariou & Pauline Barrieu & Yining Chen, 2020. "A random forest based approach for predicting spreads in the primary catastrophe bond market," Papers 2001.10393, arXiv.org.
  28. 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.
  29. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  30. J. David Cummins & Philippe Trainar, 2009. "Securitization, Insurance, and Reinsurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 463-492, September.
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