dc.contributor.authorPérez-Fructuoso, María José
dc.date.accessioned2018-09-19T16:34:50Z
dc.date.available2018-09-19T16:34:50Z
dc.date.issued2017
dc.identifier.issn2254-6235
dc.identifier.urihttp://hdl.handle.net/20.500.12226/102
dc.description.abstractThis paper proposes a method for continuous-time random modeling of loss index- triggered catastrophe bonds (cat bonds) that simplifies both rating and pricing throughout their maturity period. This index is based on the amount of declared losses calculated as the difference between the total amount of the catastrophe and that of incurred-but-not-yet- reported losses, which is modeled by means of a geometric Wiener process. The fundamental assumption of this model lies in considering that this amount decreases proportionally to a function, hereby called the mixed-rate of claims statement, which represents the pace of claim statements as growing linearly up to a certain moment, after which it becomes constant until the bond reaches maturity.es
dc.language.isoenes
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.titleModeling Loss Index Triggers for Catastrophe (Cat) Bonds: An Alternative Continuous Approaches
dc.typearticlees
dc.description.course2017-18es
dc.issue.number2es
dc.journal.titleHarvard Deusto Business Researches
dc.page.initial84es
dc.page.final101es
dc.publisher.departmentDepartamento de Administración y Dirección de Empresas y Economíaes
dc.publisher.facultyFacultad de Ciencias Económicas y Empresarialeses
dc.publisher.group(GI-14/8) Análisis Económico de la Creación de Valor basado en conocimiento, Innovación y Aprendizaje (INTELLECTUS NOVAE)es
dc.rights.accessRightsopenAccesses
dc.subject.keywordcatastrophe bonds (cat bonds)es
dc.subject.keywordreported loss amountes
dc.subject.keywordincurred-but-not-yet-reported loss amountes
dc.subject.keywordmixed claim reporting ratees
dc.subject.keywordgeometric Brownian motiones
dc.subject.keywordcatastrophic loss ratioes
dc.volume.numberVIes


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Attribution-NonCommercial-NoDerivatives 4.0 Internacional
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