Pricing of catastrophe bonds

Krzysztof Burnecki, Grzegorz Kukla and David Taylor
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Grzegorz Kukla: Towarzystwo Ubezpieczeniowe EUROPA S.A.
David Taylor: University of the Witwatersrand, School of Computational and Applied Mathematics

Chapter 12 in Statistical Tools for Finance and Insurance, 2011, pp 371-391 from Springer

Abstract: Abstract Catastrophe (CAT) bonds are one of the more recent financial derivatives to be traded on the world markets. In the mid-1990s a market in catastrophe insurance risk emerged in order to facilitate the direct transfer of re-insurance risk associated with natural catastrophes from corporations, insurers and reinsurers to capital market investors. The primary instrument developed for this purpose was the CAT bond.

Keywords: Poisson Point Process; Bond Price; Defaultable Bond; Mortgage Insurance; Catastrophe Insurance (search for similar items in EconPapers)
Date: 2011
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Chapter: Pricing of Catastrophe Bonds (2005)
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DOI: 10.1007/978-3-642-18062-0_12

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