Búsqueda

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

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20180016981</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20180615131306.0</controlfield>
    <controlfield tag="008">180606e20180301usa|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20180008078</subfield>
      <subfield code="a">Zhang, Xiaoli</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="4">
      <subfield code="a">The Optimal write-down coefficients in a percentage for a catastrophe bond</subfield>
      <subfield code="c">Xiaoli Zhang, Cary Chi-Liang Tsai</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">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</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080538279</subfield>
      <subfield code="a">Bonos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080580872</subfield>
      <subfield code="a">Impacto económico</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080600204</subfield>
      <subfield code="a">Catástrofes naturales</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080608606</subfield>
      <subfield code="a">Simulación Monte Carlo</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080586447</subfield>
      <subfield code="a">Modelo estocástico</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20150010858</subfield>
      <subfield code="a">Chi-Liang Tsai, Cary</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="g">05/03/2018 Tomo 22 Número 1 - 2018 , p. 1-21</subfield>
    </datafield>
  </record>
</collection>