Catastrophe bond & insurance-linked securities (ILS) pricing

A selection of articles and papers on catastrophe bond & insurance-linked securities (ILS) pricing. Pricing cat bonds and ILS is an important topic in the reinsurance market which has had some academic research and analysis performed on it. These papers explain some of the concepts surrounding pricing of catastrophe bonds and ILS.

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Pricing of Catastrophe Bonds
Statistical Tools for Finance Insurance

Financial innovations for catastrophe risk: cat bonds and beyond (Financial innovations lab report)
Milken Institute Apr 2008

An analysis of the market price of Cat Bonds
Casualty Actuarial Society 2009

Pricing in the primary market for cat bonds: New empirical evidence
University of St. Gallen, Institute of Insurance Economics Aug 2012

A Cat Bond Premium Puzzle?
The Wharton School May 1999

Convergence of Capital and insurance Markets: Consistent Pricing of Index-Linked Catastrophic Loss Instruments
FAU – Department of nsurance Economics and Risk Management

Financing Catastrophe Risk: Capital Market Solutions
ISO, Verisk Analytics Company Jan 1999

Cat Bond Pricing Using Probability Transforms
Geneva Papers Jan 2004

Accuracy of pricing models for CAT bonds – An Empirical Analyses
Marcello Galeotti, Marc Gurtler and Christine Rehan

Cat bond calculator
C#computing

Seasonality modelling for catastrophe bond pricing
ESC Rennes Business School and CREST

Catastrophe bond pricing based on behaviours’ model
Shuo Liu, Tatiana Ermolieva, Yuri Ermoliev and Liyan Han

Explaining the Spread Premiums on Catastrophe Bonds
Debra T. Lei, Jen-Hung Wang and Larry Y. Tzeng

Pricing default-risky CAT bonds with moral hazard and basic risk
The Journal of Risk and Insurance 2002

Pricing catastrophe Insurance Derivatives
The Wharton School Jun 2001

Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
The London School of Economics and Political Science Mar 2011

Three essays on pricing and hedging in incomplete markets
Dan Chen Oct 2011

Catastrophe Risk Pricing – An Empirical Analyses
The World Bank, Global Capital Market Non Banking Financial Institutions Divisions Nov 2008

Catastrophe Reinsurance Pricing and Capital – An Empirical Enquiry
Lane Financial May 2008

Pricing of Catastrophe ILS
Stavros Christofides

Pricing Risk Transfer Transactions
Lane Financial Jun 2000

Analysing the pricing of the 2001 risk-linked securities transactions
Lane Financial Jul 2001

Meanwhile, back at the price drawing board
Lane Financial Aug 2002

Pricing issues in aviation insurance and reinsurance
Lane Financial Apr 2003

The viability and likely pricing of “Cat Bonds” for developing countries
Lane Financial Feb 2004

Catastrophe Bonds & Insurance-Linked Securities Deal Directory

If you’re interested in catastrophe bonds and insurance-linked securities transactions you should visit the Artemis Deal Directory. It lists all the publicly known catastrophe bond & insurance-linked security transactions since the markets inception. The Directory contains details on more than 300 cat bond and ILS deals.

Catastrophe bond & ILS news and articles from Artemis

To read more news on catastrophe bonds and insurance-linked securities visit the Artemis News Blog.