Although several works have highlighted the diversification benefits of catastrophe (CAT) bond funds as well as the attracting returns they offer, there is a lack in the literature regarding what econometric models are suitable to predict the risks of such funds. This note contributes by...

Although option pricing schemes in regime-switching frameworks were extensively explored in the literature, many models developed disregard the unobservability of regimes. In such a context, the traditional pricing approach pioneered by Hardy (2001) applied to vanilla options exhibits...

We study how traditional reinsurance and CAT bonds can be combined to build an optimal catastrophe insurance programme. We develop a contingent claims model to investigate the imperfections and limitations of the reinsurance market stemming from financial distress costs and default risk. We find...