Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling

Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling

CAT bonds play an important role in transferring insurance risks to the capital market. It has been observed that typical CAT bond premiums have changed since the recent financial crisis, which has been attributed to market participants being increasingly risk-averse. In this work, we first propose...

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Bibliographic Details
Main Authors: Stupfler, Gilles, Yang, Fan
Format: Article
Published: Cambridge University Press 2018
Online Access:https://eprints.nottingham.ac.uk/46721/

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