Centro de Documentacion de Fundación MAPFRE - Methodological considerations in the statistical modeling of catastrophe bond prices

MAP20190013994

Methodological considerations in the statistical modeling of catastrophe bond prices / John A. Major

Sumario: The problem of specifying and fitting a statistical model of the pricing of property catastrophe risk is addressed from a methodological perspective. Notable 21st century published efforts to do this are reviewed. The problem is framed in a business context and various strategic and tactical issues are investigated. A naïve application of ordinary least squares regression is seen to have undesirable consequences. Alternative approaches are offered, including weighted least squares with weights inversely proportional to capital requirements, and alternative functional forms. Recommendations are offered

En: Risk management & insurance review. - Malden, MA : The American Risk and Insurance Association by Blackwell Publishing, 1999- = ISSN 1098-1616. - 01/03/2019 Tomo 22 Número 1 - 2019 , p. 39-56

1. Catástrofes naturales . 2. Evaluación de riesgos . 3. Modelos estadísticos . 4. Mercado de reaseguros . 5. Requerimientos financieros . 6. Estados Unidos .