Convergence of capital and insurance markets : consistent pricing of index-linked catastrophe

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<dc:creator>Gatzert, Nadine</dc:creator>
<dc:creator>Pokutta, Sebastian</dc:creator>
<dc:creator>Vogl, Nikolai</dc:creator>
<dc:date>2019-03-01</dc:date>
<dc:description xml:lang="es">Sumario: Index-linked catastrophe loss instruments have become increasingly attractive for investors and play an important role in risk management. Their payout is tied to the development of an underlying industry loss index (reflecting losses from natural catastrophes) and may additionally depend on the ceding company's loss. Depending on the instrument, pricing is currently not entirely transparent and does not assume a liquid market. We show how arbitrage-free and market-consistent prices for such instruments can be derived by overcoming the crucial point of tradability of the underlying processes. We develop suitable approximation and replication techniques and -based on these- provide explicit pricing formulas using cat bond prices. Finally, we use empirical examples to illustrate the suggested approximations.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/167958.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Riesgos extraordinarios</dc:subject>
<dc:subject xml:lang="es">Catástrofes naturales</dc:subject>
<dc:subject xml:lang="es">Índices</dc:subject>
<dc:subject xml:lang="es">Inversiones</dc:subject>
<dc:subject xml:lang="es">Análisis empírico</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Convergence of capital and insurance markets : consistent pricing of index-linked catastrophe</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/03/2019 Volumen 86 Número 1 - marzo 2019 , p. 39-72</dc:relation>
</rdf:Description>
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