Impact of Uncertainty in Catastrophe Losses on Insurance Derivatives

Topics:
Insurance,
Investment and Capital Markets
Tags:
Business Operations,
Pricing,
Marketing Research,
Marketing,
Insurance,
Financial Services,
Financial Planning,
Finance,
Derivatives,
Corporate Insurance,
...
Source:
Columbia University

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Overview: This paper aims at quantifying the uncertainty in assessing catastrophe losses and its impact on the pricing of insurance derivatives. Simulations of several models is carried out with an emphasis on quantifying the significance of the uncertainty in the parameters on the pricing of financial securities. Prices of call-spreads are evaluated in each case and compared with real prices. The catastrophe derivatives considered include call spreads traded on the CBOT (Chicago Board Of Trade) and based on the PCS (Property Claim Service) loss index.

(Is this item miscategorized? Does it need more tags? Let us know.)

Format: PDF | Size: 68KB | Date: Jun 2002 | Pages: 5

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