A CAT BOND-BASED SOLUTION FOR SEISMIC RISK TRANSFER IN ITALY

Lorenzo Hofer, Mariano Angelo Zanini, Paolo Gardoni

Research output: Contribution to journalConference articlepeer-review

Abstract

Natural and man-made disasters are source of significant concern for privates and public authorities worldwide since they commonly imply relevant costs for repairing damaged structures and infrastructure and for a rapid recovery of the involved region's economy. In this context, the Catastrophe Bonds (CAT bonds) are risk-linked securities adopted by insurers to transfer potential high losses to the capital markets. Despite their growing importance, CAT bond pricing formulations and risk-managing solutions based on this financial tool are still limited. For these reasons, this paper wants to propose a general methodology for designing a CAT bond-based loss-coverage scheme for a distributed portfolio, with a pricing formulation able to consider uncertainties deriving from model parameters. The framework is applied to the residential building stock of Italy, proposing an ad-hoc CAT bond-based coverage scheme that consider three different levels of default risk.

Original languageEnglish (US)
JournalCOMPDYN Proceedings
StatePublished - 2023
Externally publishedYes
Event9th ECCOMAS Thematic Conference on Computational Methods in Structural Dynamics and Earthquake Engineering, COMPDYN 2023 - Athens, Greece
Duration: Jun 12 2023Jun 14 2023

Keywords

  • CAT-bond
  • earthquake engineering
  • risk transfer
  • seismic risk
  • structural engineering

ASJC Scopus subject areas

  • Computers in Earth Sciences
  • Geotechnical Engineering and Engineering Geology
  • Computational Mathematics
  • Civil and Structural Engineering

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