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CAT Bonds and Other Risk‐Linked Securities: State of the Market and Recent Developments

Citations

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Cited by:

  1. Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Abdul Halim, 2023. "Catastrophe Bond Diversification Strategy Using Probabilistic–Possibilistic Bijective Transformation and Credibility Measures in Fuzzy Environment," Mathematics, MDPI, vol. 11(16), pages 1-30, August.
  2. Aglaia Petseti & Milton Nektarios, 2012. "Proposal for a National Earthquake Insurance Programme for Greece," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 37(2), pages 377-400, April.
  3. Nektarios Milton, 2011. "A Catastrophe Insurance System for the European Union," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 5(2), pages 1-22, July.
  4. Boonen, Tim J., 2016. "Nash equilibria of Over-The-Counter bargaining for insurance risk redistributions: The role of a regulator," European Journal of Operational Research, Elsevier, vol. 250(3), pages 955-965.
  5. Kent Smetters & David Torregrosa, 2008. "Financing Losses from Catastrophic Risks: Working Paper 2008-09," Working Papers 20400, Congressional Budget Office.
  6. Morteza Tavanaie Marvi & Daniël Linders, 2021. "Decomposition of Natural Catastrophe Risks: Insurability Using Parametric CAT Bonds," Risks, MDPI, vol. 9(12), pages 1-19, December.
  7. Georgios Deligiannakis & Alexandros Zimbidis & Ioannis Papanikolaou, 2023. "Earthquake loss and Solvency Capital Requirement calculation using a fault-specific catastrophe model," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 821-846, October.
  8. Patricia H. Born & Barbara Klimaszewski-Blettner, 2013. "Should I Stay or Should I Go? The Impact of Natural Disasters and Regulation on U.S. Property Insurers’ Supply Decisions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(1), pages 1-36, March.
  9. Sabine Lemoyne de Forges & Ruben Bibas & Stéphane Hallegatte, 2001. "A dynamic model of extreme risk coverage : Resilience and e fficiency in the global reinsurance market," CIRED Working Papers halshs-00800460, HAL.
  10. Alexander Braun, 2016. "Pricing in the Primary Market for Cat Bonds: New Empirical Evidence," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 811-847, December.
  11. Massimo Mariani & Paola Amoruso, 2016. "The Effectiveness of Catastrophe Bonds in Portfolio Diversification," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1760-1767.
  12. Asimit, Alexandru V. & Boonen, Tim J. & Chi, Yichun & Chong, Wing Fung, 2021. "Risk sharing with multiple indemnity environments," European Journal of Operational Research, Elsevier, vol. 295(2), pages 587-603.
  13. 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, vol. 76(3), pages 493-545, September.
  14. Lo, Chien-Ling & Chang, Carolyn W. & Lee, Jin-Ping & Yu, Min-Teh, 2021. "Pricing catastrophe swaps with default risk and stochastic interest rates," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  15. Barrieu, Pauline & Loubergé, Henri, 2013. "Reinsurance and securitisation of life insurance risk: The impact of regulatory constraints," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 135-144.
  16. 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.
  17. Gürtler, M. & Hibbeln, M. & Winkelvos, C., 2012. "The impact of the financial crisis and natural catastrophes on CAT bonds," Working Papers IF40V1, Technische Universität Braunschweig, Institute of Finance.
  18. Lai, Van Son & Parcollet, Mathieu & Lamond, Bernard F., 2014. "The valuation of catastrophe bonds with exposure to currency exchange risk," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 243-252.
  19. Ma, Zong-Gang & Ma, Chao-Qun, 2013. "Pricing catastrophe risk bonds: A mixed approximation method," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 243-254.
  20. Karl Demers‐Bélanger & Van Son Lai, 2020. "Diversification benefits of cat bonds: An in‐depth examination," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
  21. Baradel, Nicolas, 2024. "Optimal control under uncertainty: Application to the issue of CAT bonds," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 16-44.
  22. Lisa Smack, 2016. "Catastrophe Bonds—Regulating a Growing Asset Class," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(1), pages 105-125, March.
  23. repec:bjc:journl:v:8:y:2022:i:6:p:32-39 is not listed on IDEAS
  24. 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.
  25. Sukono & Hafizan Juahir & Riza Andrian Ibrahim & Moch Panji Agung Saputra & Yuyun Hidayat & Igif Gimin Prihanto, 2022. "Application of Compound Poisson Process in Pricing Catastrophe Bonds: A Systematic Literature Review," Mathematics, MDPI, vol. 10(15), pages 1-19, July.
  26. Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
  27. 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).
  28. Gibson, Rajna & Habib, Michel A. & Ziegler, Alexandre, 2014. "Reinsurance or securitization: The case of natural catastrophe risk," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 79-100.
  29. Torsten Heinrich & Juan Sabuco & J. Doyne Farmer, 2022. "A simulation of the insurance industry: the problem of risk model homogeneity," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 535-576, April.
  30. Loretta Mastroeni & Alessandro Mazzoccoli & Maurizio Naldi, 2022. "Pricing Cat Bonds for Cloud Service Failures," JRFM, MDPI, vol. 15(10), pages 1-18, October.
  31. Chuang, Ming-Che & Huang, Hong-Chih & Huang, Shih-Feng & Lin, Shih-Kuei, 2025. "Catastrophe risk with global climate change determines the price of catastrophe equity puts," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
  32. International Monetary Fund, 2016. "Eastern Caribbean Currency Union: 2016 Discussion on Common Policies of Member Countries-Press Release and Staff Report," IMF Staff Country Reports 2016/333, International Monetary Fund.
  33. Shao, Jia & Papaioannou, Apostolos D. & Pantelous, Athanasios A., 2017. "Pricing and simulating catastrophe risk bonds in a Markov-dependent environment," Applied Mathematics and Computation, Elsevier, vol. 309(C), pages 68-84.
  34. 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.
  35. MacMinn, Richard & Richter, Andreas, 2018. "The choice of trigger in an insurance linked security: The mortality risk case," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 174-182.
  36. Feng, Chi & Zeng, Xudong, 2025. "Climate variability and catastrophe bond premiums," Finance Research Letters, Elsevier, vol. 86(PD).
  37. Riza Andrian Ibrahim & Sukono & Herlina Napitupulu, 2022. "Multiple-Trigger Catastrophe Bond Pricing Model and Its Simulation Using Numerical Methods," Mathematics, MDPI, vol. 10(9), pages 1-17, April.
  38. Wolfgang Karl Härdle & Brenda López Cabrera, 2010. "Calibrating CAT Bonds for Mexican Earthquakes," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 625-650, September.
  39. 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).
  40. Marc Gürtler & Martin Hibbeln & Christine Winkelvos, 2016. "The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 579-612, September.
  41. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
  42. Lo, Chien-Ling & Lee, Jin-Ping & Yu, Min-Teh, 2013. "Valuation of insurers’ contingent capital with counterparty risk and price endogeneity," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5025-5035.
  43. Jarrow, Robert A., 2010. "A simple robust model for Cat bond valuation," Finance Research Letters, Elsevier, vol. 7(2), pages 72-79, June.
  44. Laura-Gabriela CONSTANTIN, 2014. "Catastrophe Bonds. From Structure to Strategy – A Cluster Analysis at European Level," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 17(2), pages 304-317, December.
  45. Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
  46. Barry Sheehan & Christian Humberg & Darren Shannon & Michael Fortmann & Stefan Materne, 2023. "Diversification and Solvency II: the capital effect of portfolio swaps on non-life insurers," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 872-905, October.
  47. Christian L. E. Franzke, 2017. "Impacts of a Changing Climate on Economic Damages and Insurance," Economics of Disasters and Climate Change, Springer, vol. 1(1), pages 95-110, June.
  48. Zac J. Taylor, 2020. "The real estate risk fix: Residential insurance-linked securitization in the Florida metropolis," Environment and Planning A, , vol. 52(6), pages 1131-1149, September.
  49. Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Abdul Halim, 2023. "Single Earthquake Bond Pricing Framework with Double Trigger Parameters Based on Multi Regional Seismic Information," Mathematics, MDPI, vol. 11(3), pages 1-44, January.
  50. Alex Huynh & Aaron Bruhn & Bridget Browne, 2013. "A Review of Catastrophic Risks for Life Insurers," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(2), pages 233-266, September.
  51. Gatzert, Nadine & Kellner, Ralf, 2011. "The influence of non-linear dependencies on the basis risk of industry loss warranties," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 132-144, July.
  52. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
  53. Mondher bellalah & Shirley Mardonez & Omar Masood, 2013. "How can non-life insurance linked securities be sustainable? (Mexico Case Study)," Thema Working Papers 2013-18, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS.
  54. Sukono & Riza Andrian Ibrahim & Moch Panji Agung Saputra & Yuyun Hidayat & Hafizan Juahir & Igif Gimin Prihanto & Nurfadhlina Binti Abdul Halim, 2022. "Modeling Multiple-Event Catastrophe Bond Prices Involving the Trigger Event Correlation, Interest, and Inflation Rates," Mathematics, MDPI, vol. 10(24), pages 1-18, December.
  55. 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.
  56. 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.
  57. Joanne Linnerooth-Bayer & Stefan Hochrainer-Stigler, 2015. "Financial instruments for disaster risk management and climate change adaptation," Climatic Change, Springer, vol. 133(1), pages 85-100, November.
  58. Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2021. "Indifference pricing of insurance-linked securities in a multi-period model," European Journal of Operational Research, Elsevier, vol. 289(2), pages 793-805.
  59. J. David Cummins & Philippe Trainar, 2009. "Securitization, Insurance, and Reinsurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 463-492, September.
  60. Apostolos Kiohos & Maria Paspati, 2021. "Alternative to Insurance Risk Transfer: Creating a catastrophe bond for Romanian earthquakes," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 1-17.
  61. J. Cummins & Georges Dionne & Robert Gagné & A. Nouira, 2009. "Efficiency of insurance firms with endogenous risk management and financial intermediation activities," Journal of Productivity Analysis, Springer, vol. 32(2), pages 145-159, October.
  62. Nadine Gatzert & Hato Schmeiser, 2011. "Industry loss warranties: contract features, pricing, and central demand factors," Journal of Risk Finance, Emerald Group Publishing, vol. 13(1), pages 13-31, December.
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