Methodological considerations in the statistical modeling of catastrophe bond prices

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<dc:creator>Major, John A.</dc:creator>
<dc:date>2019-03-01</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/record.do?id=167954</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">In Copyright (InC) - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Catástrofes naturales</dc:subject>
<dc:subject xml:lang="es">Evaluación de riesgos</dc:subject>
<dc:subject xml:lang="es">Modelos estadísticos</dc:subject>
<dc:subject xml:lang="es">Mercado de reaseguros</dc:subject>
<dc:subject xml:lang="es">Requerimientos financieros</dc:subject>
<dc:subject xml:lang="es">Estados Unidos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Methodological considerations in the statistical modeling of catastrophe bond prices</dc:title>
<dc:relation xml:lang="es">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</dc:relation>
<dc:coverage xml:lang="es">Estados Unidos</dc:coverage>
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