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Methodological considerations in the statistical modeling of catastrophe bond prices

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<title>Methodological considerations in the statistical modeling of catastrophe bond prices</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20190006125">
<namePart>Major, John A.</namePart>
<nameIdentifier>MAPA20190006125</nameIdentifier>
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<genre authority="marcgt">periodical</genre>
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<placeTerm type="code" authority="marccountry">usa</placeTerm>
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<dateIssued encoding="marc">2019</dateIssued>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">John A. Major</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080600204">
<topic>Catástrofes naturales</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080601522">
<topic>Evaluación de riesgos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080597733">
<topic>Modelos estadísticos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602529">
<topic>Mercado de reaseguros</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100019443">
<topic>Requerimientos financieros</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080638337">
<geographic>Estados Unidos</geographic>
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<classification authority="">6</classification>
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<titleInfo>
<title>Risk management & insurance review</title>
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<originInfo>
<publisher>Malden, MA : The American Risk and Insurance Association by Blackwell Publishing, 1999-</publisher>
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<identifier type="issn">1098-1616</identifier>
<identifier type="local">MAP20077001748</identifier>
<part>
<text>01/03/2019 Tomo 22 Número 1 - 2019 , p. 39-56</text>
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<recordCreationDate encoding="marc">190517</recordCreationDate>
<recordChangeDate encoding="iso8601">20190524085026.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20190013994</recordIdentifier>
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<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
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