Calibrating CAT Bonds for Mexican Earthquakes
This article examines the calibration of a real parametric catastrophe bond (CAT bond) for earthquakes sponsored by the Mexican government, which is of a high interest as it delivers several policy-relevant findings. The results demonstrate that a combination of reinsurance and CAT bond is optimal i...
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| Veröffentlicht in: | The Journal of risk and insurance 2010-09, Vol.77 (3), p.625-650 |
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| container_end_page | 650 |
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| container_title | The Journal of risk and insurance |
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| creator | Härdle, Wolfgang Karl Cabrera, Brenda López |
| description | This article examines the calibration of a real parametric catastrophe bond (CAT bond) for earthquakes sponsored by the Mexican government, which is of a high interest as it delivers several policy-relevant findings. The results demonstrate that a combination of reinsurance and CAT bond is optimal in the sense that it provides coverage for a lower cost and lower exposure at default than reinsurance itself. A hybrid CAT bond for earthquakes is also priced in order to reduce the basis and moral risk borne by the sponsor and to reflect the value of the loss by several variables. |
| doi_str_mv | 10.1111/j.1539-6975.2010.01355.x |
| format | Article |
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| source | RePEc; Wiley Online Library Journals Frontfile Complete; Business Source Complete; JSTOR Archive Collection A-Z Listing |
| subjects | Analysis Arbitrage Calibration Capital budgets Capital markets Collateral Credit risk Default Disasters Earthquake insurance Earthquakes Financial risk Hedging Insurance premiums Insured losses Interest rates Investments Modeling Monte Carlo method Monte Carlo simulation Prices Prices and rates Reinsurance Risk management Studies Zero coupon bonds |
| title | Calibrating CAT Bonds for Mexican Earthquakes |
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