Catastrophe Bonds Structures at European Level – A Cluster Analysis Approach

Loris Lino Maria Nadotti and Laura-Gabriela Constantin ()

Romanian Economic Journal, 2014, vol. 17, issue 54, 115-141

Abstract: The present paper aims at examining several characteristics of the catastrophe bonds (CB) market by focusing on emblematic transactions with the objective of stressing the choices of the European-based (re)insurance groups in terms of the CB tranches structure. For the purpose of highlighting the common individualities regarding the configuration of the catastrophe bonds, there are recognized homogenous groups in terms of covered perils and size of the each CB tranche, while emphasizing some stringent aspects linked to their trigger mechanism (like the basis risk), their rating, or tenor. The research identifies several profiles regarding the structural characteristics of the CB during the entire analysed period (1999-2014) and the main periods of development of the market. Accommodating categorical and continuous data, the structural patterns are determined and analysed by applying the two-step cluster methodology.

Keywords: catastrophe bonds structure; alternative risk transfer mechanisms; two-step cluster analysis; (re)insurance European market (search for similar items in EconPapers)
JEL-codes: G22 G23 G32 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.rejournal.eu/sites/rejournal.versatech. ... adotticonstantin.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rej:journl:v:17:y:2014:i:54:p:115-141

Access Statistics for this article

Romanian Economic Journal is currently edited by Ioan Popa, PhD

More articles in Romanian Economic Journal from Department of International Business and Economics from the Academy of Economic Studies Bucharest Contact information at EDIRC.
Bibliographic data for series maintained by Radu Lupu ().