Calibrating CAT Bonds for Mexican Earthquakes
AbstractThis article examines the calibration of a real parametric catastrophe bond (CAT bond) for earthquakes sponsored by the Mexican government, which is of a high interest as it delivers several policy-relevant findings. The results demonstrate that a combination of reinsurance and CAT bond is optimal in the sense that it provides coverage for a lower cost and lower exposure at default than reinsurance itself. A hybrid CAT bond for earthquakes is also priced in order to reduce the basis and moral risk borne by the sponsor and to reflect the value of the loss by several variables. Copyright (c) The Journal of Risk and Insurance, 2010.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by The American Risk and Insurance Association in its journal Journal of Risk and Insurance.
Volume (Year): 77 (2010)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.wiley.com/bw/journal.asp?ref=0022-4367&site=1
More information through EDIRC
Other versions of this item:
- Haerdle, Wolfgang & Cabrera, Brenda Lopez, 2007. "Calibrating CAT bonds for Mexican earthquakes," 101st Seminar, July 5-6, 2007, Berlin Germany 9265, European Association of Agricultural Economists.
- Wolfgang Härdle & Brenda López Cabrera, 2007. "Calibrating CAT bonds for Mexican earthquakes," SFB 649 Discussion Papers SFB649DP2007-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- G19 - Financial Economics - - General Financial Markets - - - Other
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
- N26 - Economic History - - Financial Markets and Institutions - - - Latin America; Caribbean
- N56 - Economic History - - Agriculture, Natural Resources, Environment and Extractive Industries - - - Latin America; Caribbean
- Q29 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Other
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kenneth A. Froot, 1999.
"The Market for Catastrophe Risk: A Clinical Examination,"
NBER Working Papers
7286, National Bureau of Economic Research, Inc.
- Froot, Kenneth A., 2001. "The market for catastrophe risk: a clinical examination," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 529-571, May.
- Kenneth A. Froot, 2001. "The Market for Catastrophe Risk: A Clinical Examination," NBER Working Papers 8110, National Bureau of Economic Research, Inc.
- Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
- Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004.
"Simulation of risk processes,"
2004,01, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- Krzysztof Burnecki & Grzegorz Kukla & Rafal Weron, 2000.
"Property insurance loss distributions,"
HSC Research Reports
HSC/00/03, Hugo Steinhaus Center, Wroclaw University of Technology.
- Burnecki, Krzysztof & Kukla, Grzegorz & Weron, Rafał, 2000. "Property insurance loss distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(1), pages 269-278.
- Volodymyr Perederiy, 2007. "Kombinierte Liquiditäts- und Solvenzkennzahlen und ein darauf basierendes Insolvenzprognosemodell für deutsche GmbHs," SFB 649 Discussion Papers SFB649DP2007-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Nowak, Piotr & Romaniuk, Maciej, 2013. "Pricing and simulations of catastrophe bonds," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 18-28.
- Joanne Ho & Martin Odening, 2009. "Weather-based estimation of wildfire risk," SFB 649 Discussion Papers SFB649DP2009-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.