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Sponsor- and trigger-specific determinants of CAT bond premia: a summary

  • Tobias GötzeEmail author
  • Marc Gürtler
Abhandlung
  • 33 Downloads

Abstract

This manuscript employs a broad set of CAT bond secondary market data to investigate the influence of sponsor characteristics and alternative trigger mechanisms on the CAT bond premium. We show that a CAT bond sponsor’s diversification, his rating as well as his vertical integration are significant factors affecting CAT bond premia. Furthermore, our findings suggest that investors demand higher premia for CAT bonds with indemnity trigger. The contribution is a short summary of a working paper presented at the annual meeting of the German Insurance Science Association (DVfVW) in Munich in March 2018.

Zusammenfassung

Dieser Artikel umfasst eine Analyse des Einflusses von Sponsoreneigenschaften und alternativen Triggermechanismen auf die CAT-Bond-Prämie basierend auf einem umfangreichen Datensatz zu CAT-Bond-Sekundärmarktpreisen. Signifikante Einflussfaktoren auf die CAT-Bond-Prämie sind die Diversifikation des Sponsors, das Sponsorenrating sowie seine vertikale Integration. In Bezug auf den Triggermechanismus zeigt sich, dass Investoren bei CAT Bonds mit Entschädigungstrigger eine höhere Risikoprämie verlangen. Der vorliegende Beitrag stellt eine kurze Zusammenfassung eines Arbeitspapiers dar, das im März 2018 auf der Jahrestagung des Deutschen Vereins für Versicherungswissenschaft e. V. (DVfVW) in München präsentiert wurde.

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Copyright information

© Springer-Verlag GmbH Deutschland, ein Teil von Springer Nature 2018

Authors and Affiliations

  1. 1.Department of FinanceBraunschweig Institute of TechnologyBraunschweigGermany

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