Calibrating CAT Bonds for Mexican Earthquakes

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/51824

Title:	Calibrating CAT Bonds for Mexican Earthquakes
Authors:	Hardle,WK;Cabrera,BL
Contributors:	統計研究所
Keywords:	CATASTROPHE BONDS;BASIS RISK;INSURANCE;REINSURANCE;CONVERGENCE;HYBRID
Date:	2010
Issue Date:	2012-03-27 19:07:07 (UTC+8)
Publisher:	國立中央大學
Abstract:	P>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.
Relation:	JOURNAL OF RISK AND INSURANCE
Appears in Collections:	[Graduate Institute of Statistics] journal & Dissertation

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