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Convergence of capital and insurance markets : consistent pricing of index-linked catastrophe

Recurso electrónico / Recurso electrónico
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20190014038
003  MAP
005  20190524085025.0
008  190517e20190301usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎7
1001 ‎$0‎MAPA20080644536‎$a‎Gatzert, Nadine
24500‎$a‎Convergence of capital and insurance markets‎$b‎: consistent pricing of index-linked catastrophe‎$c‎Nadine Gatzert, Sebastian Pokutta, Nikolai Vogl
520  ‎$a‎Index-linked catastrophe loss instruments have become increasingly attractive for investors and play an important role in risk management. Their payout is tied to the development of an underlying industry loss index (reflecting losses from natural catastrophes) and may additionally depend on the ceding company's loss. Depending on the instrument, pricing is currently not entirely transparent and does not assume a liquid market. We show how arbitrage-free and market-consistent prices for such instruments can be derived by overcoming the crucial point of tradability of the underlying processes. We develop suitable approximation and replication techniques and -based on these- provide explicit pricing formulas using cat bond prices. Finally, we use empirical examples to illustrate the suggested approximations.
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
650 4‎$0‎MAPA20080586294‎$a‎Mercado de seguros
650 4‎$0‎MAPA20080612429‎$a‎Riesgos extraordinarios
650 4‎$0‎MAPA20080600204‎$a‎Catástrofes naturales
650 4‎$0‎MAPA20080544249‎$a‎Índices
650 4‎$0‎MAPA20080558970‎$a‎Inversiones
650 4‎$0‎MAPA20080578879‎$a‎Análisis empírico
7001 ‎$0‎MAPA20190006156‎$a‎Pokutta, Sebastian
7001 ‎$0‎MAPA20190006163‎$a‎Vogl, Nikolai
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎01/03/2019 Volumen 86 Número 1 - marzo 2019 , p. 39-72
856  ‎$y‎MÁS INFORMACIÓN‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A