Title of article
Valuation of catastrophe reinsurance with catastrophe bonds
Author/Authors
Lee، نويسنده , , Jin-Ping and Yu، نويسنده , , Min-Teh Yu، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
15
From page
264
To page
278
Abstract
This study develops a contingent-claim framework for valuing a reinsurance contract and examines how a reinsurance company can increase the value of a reinsurance contract and reduce its default risk by issuing catastrophe (CAT) bonds. The results also show how the changes in contract values and default risk premium are related to basis risk, trigger level, catastrophe risk, interest rate risk, and the reinsurer’s capital position.
Keywords
Reinsurance , Catastrophe risk , Catastrophe bonds , Default risk , Basis risk , Contingent-claim analysis
Journal title
Insurance Mathematics and Economics
Serial Year
2007
Journal title
Insurance Mathematics and Economics
Record number
1543355
Link To Document