In this paper we study the time variation of the market price of Catastrophe bonds for the period 1999-2016. While we find an overall decreasing trend in the expected loss premium, large catastrophes increase the expected loss premium by an order of 20% on average. Our empirical tests show that...

Are Catastrophe bonds (CAT bonds) zero beta investments? Are they a valuable new source of diversification for investors? We study these questions by analyzing the dynamic relations of CAT bond returns and the returns of the stock, corporate bond and government bond markets. Our multivariate...