Accuracy of Pricing Models for CAT Bonds

(CAT-)astrophe Bonds are of significant importance in the field of alternative risk transfer.Since the market of CAT Bonds is not as liquid as e.g. the stock market, the use of pricing models is ofhigh relevance. One important parameter in all pricing models is the probability of catastrophe. Consequently,there are two possibilities of determination. On the one hand, if we have an expectationregarding the probability of catastrophe, the value of the bond can be calculated using a model. Onthe other hand, if the price of the bond is known, we can implicitly...