The Optimal write-down coefficients in a percentage for a catastrophe bond

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<dc:creator>Zhang, Xiaoli</dc:creator>
<dc:creator>Chi-Liang Tsai, Cary</dc:creator>
<dc:description xml:lang="es">Sumario: Catastrophe bonds, also known as CAT bonds, are insurance-linked securities that help to transfer catastrophe risks from insurance industry to bond holders. When the aggregate catastrophe loss exceeds a specified amount by the maturity, the CAT bond is triggered and the future bond payments are reduced. This article first presents a general pricing formula for a CAT bond with coupon payments, which can be adapted to various assumptions for a catastrophe loss process. Next, it gives formulas for the optimal write-down coefficients in a percentage, implemented by Monte Carlo simulations, which maximize two measurements of risk reduction, hedge effectiveness rate (HER) and hedge effectiveness (HE), respectively, and examines how the optimal write-down coefficients in a percentage help reinsurance or insurance companies to mitigate extreme catastrophe losses. Last, it demonstrates how the number of coupon payments, loss share, retention level, strike price, maturity, frequency, and severity parameters of the catastrophe loss process and different interest rate models affect the optimal write-down coefficients in a percentage with numerical examples for illustrations</dc:description>
<dc:rights xml:lang="es">In Copyright (InC) -</dc:rights>
<dc:subject xml:lang="es">Bonos</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Impacto económico</dc:subject>
<dc:subject xml:lang="es">Catástrofes naturales</dc:subject>
<dc:subject xml:lang="es">Simulación Monte Carlo</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">The Optimal write-down coefficients in a percentage for a catastrophe bond</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 05/03/2018 Tomo 22 Número 1 - 2018 , p. 1-21</dc:relation>