Advanced Search
MyIDEAS: Login to save this paper or follow this series

The impact of the financial crisis and natural catastrophes on CAT bonds

Contents:

Author Info

  • Gürtler, M.
  • Hibbeln, M.
  • Winkelvos, C.
Registered author(s):

    Abstract

    CAT bonds are important instruments for the insurance of catastrophe risk. Due to a low degree of deal standardization, there is uncertainty about the determination of the CAT bond premium. In addition, it is not apparent how CAT bonds react after the financial crisis or a natural catastrophe. We empirically verify which factors determine the CAT bond premium and what effects arise if a catastrophe occurs. On a broad data set using secondary market premiums we find strong evidence that the recent financial crisis has a significant impact on CAT bond premiums. Furthermore, we find that after hurricane Katrina an increased risk perception for hurricanes can be observed. --

    Download Info

    If 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.
    File URL: http://econstor.eu/bitstream/10419/64631/1/725704713.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Technische Universität Braunschweig, Institute of Finance in its series Working Papers with number IF40V1.

    as in new window
    Length:
    Date of creation: 2012
    Date of revision:
    Handle: RePEc:zbw:tbsifw:if40v1

    Contact details of provider:
    Postal: Pockelsstr. 14, D-38106 Braunschweig
    Web page: http://www.fiwi.tu-bs.de/
    More information through EDIRC

    Related research

    Keywords: CAT bonds; financial crisis; catastrophe events; risk premium;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. Kenneth A. Froot, 1999. "The Market for Catastrophe Risk: A Clinical Examination," NBER Working Papers 7286, National Bureau of Economic Research, Inc.
    2. Cummins, J. David & Lalonde, David & Phillips, Richard D., 2004. "The basis risk of catastrophic-loss index securities," Journal of Financial Economics, Elsevier, Elsevier, vol. 71(1), pages 77-111, January.
    3. Andrew Worthington & Abbas Valadkhani, 2004. "Measuring the impact of natural disasters on capital markets: an empirical application using intervention analysis," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(19), pages 2177-2186.
    4. 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, The American Risk and Insurance Association, vol. 76(3), pages 493-545.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:zbw:tbsifw:if40v1. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

    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.