The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven?
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DOI: 10.1016/j.frl.2019.05.016
Abstract: Abstract We examine whether catastrophe bonds can serve as a hedge or a safe haven for global stock, bond, real estate, commodity, private equity, and infrastructure markets. Our findings indicate that catastrophe bonds are a… read more here.
Keywords: hedge safe; diversifier; asset; catastrophe ... See more keywords
Valuation of contingent convertible catastrophe bonds — The case for equity conversion
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DOI: 10.1016/j.insmatheco.2019.07.006
Abstract: Within the context of the banking-related literature on contingent convertible bonds, we comprehensively formalise the design and features of a relatively new type of insurance-linked security, called a contingent convertible catastrophe bond (CocoCat). We begin… read more here.
Keywords: convertible catastrophe; valuation; contingent convertible; catastrophe ... See more keywords
Research on the Pricing of Global Drought Catastrophe Bonds
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DOI: 10.1155/2020/3898191
Abstract: The rapid development of catastrophe bonds provides a new idea for catastrophe risk dispersion, since its traditional means fail to afford the economic losses caused by the global drought catastrophe. With the deepening of the… read more here.
Keywords: research pricing; global drought; catastrophe; catastrophe bonds ... See more keywords