bond investment into interest payments, realized capital gains and accrued capital gains for a variety of accounting rules …'s formula produces short-cut expressions for the duration and convexity of a bond and facilitates the analytical calculation of …

convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the … authorities deem the institution to be under-capitalized. This paper discusses this Contingent Capital (or Coco) bond instrument …

this paper, we propose an index-based storm catastrophe (CAT) bond for reinsurers to hedge catastrophe risks related to … CAT bond market equilibrium and endogenously solve for the optimal market price of risk and coupon rates. Our empirical … results using historical losses data at the county level in Florida show the proposed CAT bond can stabilize the reinsurer …

trigger mechanism of the bond includes two conditions: the cumulative catastrophic losses and the insurance company’s share … company. Moreover, the bond can supplement the catastrophe repayment funds for insurance companies more appropriately and …