Catastrophic Losses and Alternative Risk Transfer Instruments
Handbook of Quantitative Finance and Risk Management(2010)
摘要
This study reviews the valuation models for three types of catastrophe-linked instruments: catastrophe bonds, catastrophe
equity puts, and catastrophe futures and options. First, it looks into the pricing of catastrophe bonds under stochastic interest
rates and examines how (re)insurers can apply catastrophe bonds to reduce the default risk. Second, it models and values the
catastrophe equity puts that give the (re)insurer the right to sell its stocks at a predetermined price if catastrophe losses
surpass a trigger level. Third, this study models and prices catastrophe futures and catastrophe options contracts that are
based on a catastrophe index.
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关键词
catastrophe risk catastrophe bond catastrophe equity put catastrophe futures options contingent claim analysis
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