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Valuación actuarial de bonos catastróficos para desastres naturales en México

  • Fernández-Durán, Juan José

    (Instituto Tecnológico Autónomo de México (ITAM))

  • Gregorio-Domínguez, M. Mercedes

    (Instituto Tecnológico Autónomo de México (ITAM))

Registered author(s):

    Floods, hurricanes and earthquakes occur every year in Mexico. These natural phenomena can be considered as catastrophes if they produce large economic damages in the affected areas. In these cases it is required a huge amount of money to provide relief to the catastrophe victims and areas. Usually, in Mexico it is the local and/or federal governments that are responsible to provide these funds. The main objective of this article is to develop an actuarial methodology for the pricing of CAT bonds in Mexico in order to allow the government to have additional funds to provide relief to the affected victims and areas in case that the catastrophic event occurs during the CAT bond period. If the catastrophic event does not occur during the CAT bond period then the CAT bond holders will get a higher interest rate than the (risk-free) reference interest rate in the market. To make the CAT bond more attractive to investors, the CAT bonds considered in this work have the additional characteristic that the CAT bondholders do not necessarily lose all their initial investment if the catastrophic event occurs. Instead, a percentage of the CAT bond principal is lost or their initial investment is paid in a date after the end of the CAT bond period.// México es un país donde ocurren distintos fenómenos naturales, como inundaciones, huracanes y terremotos, que pueden convertirse en desastres que requieren grandes sumas de dinero para mitigar su efecto económico en la población afectada. Generalmente, estas grandes sumas de dinero suelen ser aportadas por el gobierno federal y/o local. El objetivo del presente trabajo es el desarrollo de una metodología actuarial para el cálculo de bonos catastróficos para desastres naturales en México, de manera que, en caso de que el evento catastrófico ocurra durante la vigencia del bono, el gobierno cuente con fondos adicionales y, en caso de que no ocurra, los inversionistas que hayan comprado el bono obtengan tasas de interés superiores a la tasa libre de riesgo del mercado. Los bonos tienen la particularidad, a diferencia de bonos similares emitidos en otros países, que en caso de que ocurra el evento catastrófico el inversionista no pierde el total de su inversión sino sólo una parte o se le difiere su capital total o parte de éste a una fecha posterior a la de la finalización del contrato del bono catastrófico, esto con el fin de hacerlos más atractivos para el inversionista.

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    Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

    Volume (Year): LXXII (4) (2005)
    Issue (Month): 288 (octubre-diciembre)
    Pages: 877-912

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    Handle: RePEc:elt:journl:v:72:y:2005:i:288:p:877-912
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