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 language | English (US) |
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Journal | COMPDYN Proceedings |
State | Published - 2023 |
Event | 9th ECCOMAS Thematic Conference on Computational Methods in Structural Dynamics and Earthquake Engineering, COMPDYN 2023 - Athens, Greece Duration: Jun 12 2023 → Jun 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