Skip to main content
Disciplines
Automotive Business IT + Informatics Construction + Real Estate Electrical Engineering + Electronics Energy + Sustainability Insurance + Risk Finance + Banking Management + Leadership Marketing + Sales Mechanical Engineering + Materials
DE
EN
Books
Journals
Events
Topic Page
Marketing
Start single access now
Access for companies
12th International Engine Congress 2025 | 25. + 26. February 2025

Meeting Place for the Powertrain and Sustainable Fuels Community

The congress will examine the future role of the internal combustion engine and its non-fossil fuels from a global perspective with leading experts. Be part of it! More information and booking options are available on our website.
EXTENDED SEARCH
Log in
Top
Published in:
Read chapter Read first chapter

2023 | OriginalPaper | Chapter

8. Catastrophe Bonds: A Mitigation Opportunity in Turmoil Period

Authors : Massimo Mariani, Alessandra Caragnano, Francesco D’Ercole, Raffaele Didonato, Domenico Frascati

Published in: Contemporary Issues in Sustainable Finance

Publisher: Springer International Publishing

Log in

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

The work aims at examining the beneficial effect of minimal, if any, correlation of an alternative asset class, as Catastrophe bonds with traditional assets, specifically bonds, equity, real estate and commodity. Adopting a multi-level approach based on linear correlation and regression, diversification effect of Catastrophe bonds has been tested through spanning tests and portfolio optimizations resulting in the classification of the instruments as market-uncorrelated diversifier. Assuming the robustness of the results during the pandemic crisis, as a possible breakthrough in the market, the work shows the higher resilience of the Catastrophe bonds justifying its inclusion in diversifying portfolios during the turmoil period.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

inform now
previous chapter The Financial Side of the Social Impact Bond: The Determinants of the Returns
next chapter Collaboration or Community? The Impact of the Institutional Forces in Promoting Social Crowdfunding
Literature
Braun, A. (2011). Pricing catastrophe swaps: A contingent claims approach. Insurance: Mathematics and Economics, 49(3), 520–536.
Braun, A. (2016). Pricing in the primary market for Cat bonds: New empirical evidence. Journal of Risk and Insurance, 83(4), 811–847.CrossRef
Carayannopoulos, P., & Perez, M. F. (2015). Diversification through catastrophe bonds: Lessons from the subprime financial crisis. The Geneva Papers on Risk and Insurance-Issues and Practice, 40(1), 1–28.CrossRef
Chang, C. W., Wang, Y. J., & Yu, M. T. (2020). Catastrophe bond spread and hurricane arrival frequency. The North American Journal of Economics and Finance, 54, 100906.CrossRef
Cook, R. D., & Weisberg, S. (1982). Residuals and influence in regression. Chapman and Hall.
Cummins, J. D. (2008). Cat bonds and other risk-linked securities: State of the market and recent developments. Risk Management and Insurance Review, 11, 23–47.CrossRef
Cummins, D., & Weiss, M. A. (2009). Convergence of insurance and financial markets: Hybrid and securitized risk-transfer solutions. The Journal of Risk and Insurance, 76(3), 493–545.CrossRef
Demers‐Bélanger, K., & Lai, V. S. (2020). Diversification benefits of cat bonds: An in‐depth examination. Financial Markets, Institutions & Instruments, 29(5), 165–228.
Dieckmann, S. (2010). By force of nature: explaining the yield spread on catastrophe bonds (Working Paper).
Drobetz, W., Schröder, H., & Tegtmeier, L. (2020). The role of catastrophe bonds in an international multi-asset portfolio: Diversifier, hedge, or safe haven? Finance Research Letters, 33, 101198.CrossRef
Götze, T., & Gürtler, M. (2020). Hard markets, hard times: On the inefficiency of the CAT bond market. Journal of Corporate Finance, 62, 101553.CrossRef
Gürtler, M., Hibbeln, M., & Winkelvos, C. (2016). The impact of the financial crisis and natural catastrophes on Cat bonds. Journal of Risk and Insurance, 83(3), 579–612.CrossRef
Huberman, G., & Kandel, S. (1987). Mean-variance spanning. The Journal of Finance, 42(4), 873–888.CrossRef
Kan, R., & Zhou, G. (2012). Tests of mean-variance spanning. Annals of Economics and Finance, 13(1), 139–187.
Lane, M. N. (2000). Pricing risk transfer transactions 1. ASTIN Bulletin: The Journal of the IAA, 30(2), 259–293.CrossRef
Lei, D. T., Wang, J. H., Tzeng, L. Y. (2008). Explaining the spread premiums on catastrophe bonds. In NTU International Conference on Finance, Taiwan.
Litzenberger, R. H., Beaglehole, D. R., & Reynolds, C. E. (1996). Assessing catastrophe reinsurance-linked securities as a new asset class. Journal of Portfolio Management, 23(5), 76–86.CrossRef
Mariani, M., & Amoruso, P. (2016). The effectiveness of catastrophe bonds in portfolio diversification. International Journal of Economics and Financial Issues, 6(4), 1760–1767.
Mariani, M., Amoruso, P., Didonato, R., & Caragnano, A. (2018). The drivers of Cat bond spread in the primary market. International Journal of Business and Management, 13(2), 65–75.CrossRef
Papachristou, D. (2011). Statistical analysis of the spreads of catastrophe bonds at the time of issue. ASTIN Bulletin-Actuarial Studies in Non LifeInsurance, 41(1), 251.
Pizzutilo, F., & Venezia, E. (2018). Are catastrophe bonds effective financial instruments in the transport and infrastructure industries? Evidence and review from international financial markets. Business and Economic Horizons (BEH), 14(1232–2019–752), 256–267.
WMO—World Meteorological Organization. (2020). State of climate services: Risk information and early warning systems.
Zhao, Y., & Yu, M. T. (2019). Measuring the liquidity impact on catastrophe bond spreads. Pacific-Basin Finance Journal, 56, 197–210.CrossRef
Zhao, Y., & Yu, M. T. (2020). Predicting catastrophe risk: Evidence from catastrophe bond markets. Journal of Banking & Finance.
Metadata
Title
Catastrophe Bonds: A Mitigation Opportunity in Turmoil Period
Authors
Massimo Mariani
Alessandra Caragnano
Francesco D’Ercole
Raffaele Didonato
Domenico Frascati
Copyright Year
2023
Book
Contemporary Issues in Sustainable Finance

Print ISBN: 978-3-031-22538-3

Electronic ISBN: 978-3-031-22539-0

Copyright Year: 2023

DOI
https://doi.org/10.1007/978-3-031-22539-0_8

Premium Partner

    Image Credits