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The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds

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  1. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
  2. Stupfler, Gilles & Yang, Fan, 2018. "Analyzing And Predicting Cat Bond Premiums: A Financial Loss Premium Principle And Extreme Value Modeling," ASTIN Bulletin, Cambridge University Press, vol. 48(1), pages 375-411, January.
  3. Tobias Götze & Marc Gürtler & Eileen Witowski, 2020. "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 428-446, September.
  4. Dixon Domfeh & Arpita Chatterjee & Matthew Dixon, 2022. "A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives," Papers 2205.04520, arXiv.org.
  5. 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.
  6. Tobias Götze & Marc Gürtler & Eileen Witowski, 0. "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-19.
  7. 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.
  8. Tobias Götze & Marc Gürtler, 2022. "Risk transfer beyond reinsurance: the added value of CAT bonds," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(1), pages 125-171, January.
  9. Lorilee A. Medders & Steven L. Schwarcz, 2022. "Securitizing pandemic‐risk insurance," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 25(4), pages 551-583, December.
  10. 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.
  11. Drobetz, Wolfgang & Schröder, Henning & Tegtmeier, Lars, 2020. "The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?," Finance Research Letters, Elsevier, vol. 33(C).
  12. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
  13. 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.
  14. 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.
  15. Adlane Haffar & Éric Le Fur, 2022. "Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 297-309, July.
  16. 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.
  17. Andreas Richter & Thomas C. Wilson, 2020. "Covid-19: implications for insurer risk management and the insurability of pandemic risk," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 45(2), pages 171-199, September.
  18. 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.
  19. 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).
  20. Braun, Alexander & Ben Ammar, Semir & Eling, Martin, 2019. "Asset pricing and extreme event risk: Common factors in ILS fund returns," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 59-78.
  21. Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Binti Abdul Halim, 2022. "Earthquake Catastrophe Bond Pricing Using Extreme Value Theory: A Mini-Review Approach," Mathematics, MDPI, vol. 10(22), pages 1-22, November.
  22. Abbaspour, Manijeh & Vajargah, Kianoush Fathi & Azhdari, Parvin, 2023. "An efficient algorithm for pricing reinsurance contract under the regime-switching model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 278-300.
  23. Faias, José Afonso & Guedes, José, 2020. "The diffusion of complex securities: The case of CAT bonds," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 46-57.
  24. Zhao, Yang & Yu, Min-Teh, 2020. "Predicting catastrophe risk: Evidence from catastrophe bond markets," Journal of Banking & Finance, Elsevier, vol. 121(C).
  25. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019. "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
  26. 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).
  27. Carolyn W. Chang & Jack S. K. Chang & Min‐Teh Yu & Yang Zhao, 2020. "Portfolio optimization in the catastrophe space," European Financial Management, European Financial Management Association, vol. 26(5), pages 1414-1448, November.
  28. 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.
  29. Zhao, Yang & Yu, Min-Teh, 2019. "Measuring the liquidity impact on catastrophe bond spreads," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 197-210.
  30. Bojan Baškot & Stanko Stanić, 2020. "Parametric Crop Insurance Against Floods: The Case Of Bosnia And Herzegovina," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(224), pages 83-100, January –.
  31. Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
  32. Ftiti, Zied & Ben Ameur, Hachmi & Louhichi, Waël, 2021. "Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market," Economic Modelling, Elsevier, vol. 99(C).
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