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Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application

Karagiannis, N., Assa, H., Pantelous, A.A., Turvey, C.G. (2016) Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application. Quantitative Finance, 16 (12). pp. 1949-1959. ISSN 1469-7688. (doi:10.1080/14697688.2016.1211791) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:87567)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1080/14697688.2016.1211791

Abstract

Catastrophe risk bonds are always within a multi-asset class portfolio of alternative risk premia in many hedge funds. In this paper, we consider an over-the-counter insurance contract on catastrophe risk between an insurance company and a hedge-fund. The contract acts as a bond within which the insurance company, which issues the bond, pays payments higher than the market risk-free interest, in order to be insured against the risk of a predefined natural catastrophe. The contract is priced by the utility indifference pricing method. We apply our framework to price agricultural catastrophe bonds in two cities in Iran where their harvests are exposed to the risk of low temperature. © 2016 Informa UK Limited, trading as Taylor & Francis Group.

Item Type: Article
DOI/Identification number: 10.1080/14697688.2016.1211791
Uncontrolled keywords: Catastrophe risk bonds; Insurance; Hedge fund; Over the counter (OTC); Utility indifference pricing method; Agricultural catastrophes
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Hirbod Assa
Date Deposited: 29 Apr 2021 11:44 UTC
Last Modified: 05 May 2021 03:14 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/87567 (The current URI for this page, for reference purposes)
Assa, H.: https://orcid.org/0000-0002-4429-8684
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