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- W2073408079 abstract "In order to spread catastrophic risk further in the capital market, the relation between these two parts is analyzed. Beta values of index returns between CAT bonds and the stock and bonds markets in US and Europe are calculated in the period covering the global financial crisis, which can be approximated to zero. By taking this kind of assets into a market portfolio, the efficient frontier is improved, that is, the risk is reduced and the expected return is increased. It is illustrated CAT bonds can be adopted, as a supplement of catastrophe insurance, to transfer catastrophic risk into a larger pool, even during the 2008 global financial crisis, since they are zero-beta assets." @default.
- W2073408079 created "2016-06-24" @default.
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- W2073408079 date "2011-10-01" @default.
- W2073408079 modified "2023-09-27" @default.
- W2073408079 title "Zero-Beta Characteristic of CAT Bonds" @default.
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- W2073408079 doi "https://doi.org/10.1109/bife.2011.159" @default.
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