We investigate whether the inclusion of Cat Bonds in portfolios composed of traditional assets and common factors is beneficial to investors. Various mean-variance spanning tests performed for the period of 2002 to 2017 show that under different market conditions, the addition of Cat Bonds gives...

Although several works have highlighted the diversification benefits of catastrophe (CAT) bond funds as well as the attracting returns they offer, there is a lack in the literature regarding what econometric models are suitable to predict the risks of such funds. This note contributes by...

In this paper, we develop a methodology to model the risk of losses resulting from a natural disaster in which the intensity parameter of the non-homogeneous Poisson process has an upward trend and a seasonal component. We apply this model to losses due to floods in the Financial Assistance...

We study how traditional reinsurance and CAT bonds can be combined to build an optimal catastrophe insurance programme. We develop a contingent claims model to investigate the imperfections and limitations of the reinsurance market stemming from financial distress costs and default risk. We find...