Centro de Documentacion de Fundación MAPFRE - The Impact of the financial crisis and natural catastrophes on CAT Bonds

MAP20160026986

The Impact of the financial crisis and natural catastrophes on CAT Bonds / Marc Gürtler, Martin Hibbeln, Christine Winkelvos

Sumario: This article employs secondary market data to examine how natural catastrophes or financial crises affect CAT bond premiums. We find evidence that both the financial crisis and Hurricane Katrina significantly affected CAT bond premiums. The premium increase resulting from natural catastrophes can primarily be attributed to an increased coefficient of expected loss calculated by catastrophe modeling companies. Furthermore, our results indicate a positive relationship between corporate spreads and CAT bond premiums. Thus, CAT bonds should not be regarded as zero-beta securities. Moreover, our results indicate that deal complexity, ratings, and the reinsurance cycle are significant drivers of CAT bond premiums

En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 05/09/2016 Volumen 83 Número 3 - septiembre 2016 , p. 579-612

1. Catástrofes naturales . 2. Crisis económica . 3. Impacto económico . 4. Mercado secundario de valores . 5. Seguro de riesgos extraordinarios . 6. Bonos . 7. Primas de seguros . I. Hibbeln, Martin . II. Winkelvos, Christine . III. Título.