The study of natural catastrophe models plays an important role in the prevention and mitigation of disasters. After the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance. This paper examines the calibration of a real...

Das vorliegende Papier präsentiert das Konzept der Verbriefung von Versicherungsrisiken(insurance-linked securities) anhand von Catastrophe Bonds. Ineinem ersten Teil wird das traditionelle Versicherungsgeschäft vorgestellt undauf dessen Hauptproblematiken eingegangen. In einem zweiten Teil...

The three annual 2¼% interest coupons of the Winterthur Insuranceconvertible bond (face value CHF 4 700) will only be paid out if during their corresponding observation periods no major storm or had storm on one single day damages at least 6000 motor vehicles insured with Wmterthur Insurance....

CAT bonds are of significant importance in the field of alternative risk transfer. Since themarket of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance.We apply different premium calculation models in order to compare them with regard to...

(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....