analyzed in this pap er reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as … cat bonds, have been issued to complete the international risk transfer process, but their development is disappointing so … far. This paper argues that downside risk aversion and ambiguity aversion explain the limited success of cat bonds. Hybrid …

calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss … the application of stochastic approximation methods in risk management.Keywords …