Calibrating GAT Bonds for Mexican Earthquakes

Wolfgang Karl Haerdle; Brenda Lopez Cabrera

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Calibrating GAT Bonds for Mexican Earthquakes

机译：校准墨西哥地震的GAT债券

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This article examines the calibration of a real parametric catastrophe bond (CAT bond) for earthquakes sponsored by the Mexican government, which is of a high interest as it delivers several policy-relevant findings. The results demonstrate that a combination of reinsurance and CAT bond is optimal in the sense that it provides coverage for a lower cost and lower exposure at default than reinsurance itself. A hybrid CAT bond for earthquakes is also priced in order to reduce the basis and moral risk borne by the sponsor and to reflect the value of the loss by several variables.

机译：本文研究了由墨西哥政府赞助的地震的实际参量巨灾债券（CAT债券）的校准，由于它提供了一些与政策相关的发现，因此引起了人们的极大兴趣。结果表明，从某种意义上说，再保险和CAT债券的组合是最优的，因为它提供了比再保险本身更低的成本和更低的违约风险。还对地震的CAT混合债券定价，以降低发起人承担的基础和道德风险，并通过几个变量反映损失的价值。

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《The journal of risk and insurance》 |2010年第3期|P.625-650|共26页
作者
Wolfgang Karl Haerdle; Brenda Lopez Cabrera;
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作者单位

National Central University and also at Center for Applied Statistics and Economics (CASE);

The Institute for Statistics and Econometrics of Humboldt-Universitaet zu Berlin;

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7. Calibrating CAT Bonds for Mexican Earthquakes [O] . Wolfgang Karl Härdle, Brenda López Cabrera 2010

机译：校准CAT债券以应对墨西哥地震

Calibrating GAT Bonds for Mexican Earthquakes

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