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Methodological considerations in the statistical modeling of catastrophe bond prices

Recurso electrónico / Electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20190013994
003  MAP
005  20190524085026.0
008  190517e20190301usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20190006125‎$a‎Major, John A.
24500‎$a‎Methodological considerations in the statistical modeling of catastrophe bond prices‎$c‎John A. Major
520  ‎$a‎The 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.
650 4‎$0‎MAPA20080600204‎$a‎Catástrofes naturales
650 4‎$0‎MAPA20080601522‎$a‎Evaluación de riesgos
650 4‎$0‎MAPA20080597733‎$a‎Modelos estadísticos
650 4‎$0‎MAPA20080602529‎$a‎Mercado de reaseguros
650 4‎$0‎MAPA20100019443‎$a‎Requerimientos financieros
651 1‎$0‎MAPA20080638337‎$a‎Estados Unidos
7730 ‎$w‎MAP20077001748‎$t‎Risk management & insurance review‎$d‎Malden, MA : The American Risk and Insurance Association by Blackwell Publishing, 1999-‎$x‎1098-1616‎$g‎01/03/2019 Tomo 22 Número 1 - 2019 , p. 39-56