Accuracy of Premium Calculation Models for CAT Bonds—An Empirical Analysis
比较了多种巨灾债券保费计算模型的预测准确性，发现不考虑金融危机时Wang变换模型和线性模型最准确，而考虑金融危机时各模型表现相近，且债券特定信息无助于提升样本外预测效果。
Abstract CAT bonds are of significant importance in the field of alternative risk transfer. Because the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models to compare them with regard to their predictive power. Without taking the financial crisis into account, a version of the Wang transformation model and the linear model are the most accurate ones. In contrast, under consideration of the financial crisis, all analyzed models are approximately equivalent. Furthermore, we find that CAT bond specific information does not improve out‐of‐sample results.