Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
(2017)
Journal Article
Stupfler, G., & Yang, F. (2018). Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling. ASTIN Bulletin, 48(1), https://doi.org/10.1017/asb.2017.32
CAT bonds play an important role in transferring insurance risks to the capital market. It has been observed that typical CAT bond premiums have changed since the recent financial crisis, which has been attributed to market participants being increa... Read More about Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling.