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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Pricing Catastrophe Bonds Using Extreme Value Theory
Organization Unit
Authors
  • Alberto Residori
Supervisors
  • Cosimo Munari
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 62
Date 2019
Abstract Text Catastrophe (CAT) bonds are nancial contracts whose value is primarily driven by insurance-linked variables. Roughly speaking, the payo of a CAT bond is contingent on an underlying index not exceeding a given threshold, known as the attachment point. Should this threshold be exceeded, the CAT bond investor loses the notional amount fully or partially and the CAT bond is said to be triggered. The index movements are typically driven by the occurrence and economic impact of natural disasters. The events on which CAT bonds are based can be classi ed as low frequency and high severity; for this reason, they can be analyzed and predicted in a statistically optimal manner using Extreme Value Theory (EVT).
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