Insurance options: Beating the benchmark. Are catastrophe bonds more profitable than corporate bonds?

• José Rafael Caro Barrera ^[1]
  1. [1] Universidad de Córdoba

     Universidad de Córdoba

     Cordoba, España

     
• Localización: Revista de métodos cuantitativos para la economía y la empresa, ISSN-e 1886-516X, Vol. 29, 2020, págs. 3-17
• Idioma: inglés
• DOI: 10.46661/revmetodoscuanteconempresa.2978
• Títulos paralelos:
  • Opciones de seguros: superando la referencia. ¿Son más rentables los bonos catástrofe que los bonos corporativos?
• Enlaces
  • Texto completo
• Resumen
  • español

    En este artículo establecemos una comparación entre uno de los derivados financieros más negociados en los mercados, los llamados bonos catástrofe (abreviados como bonos CAT) y los bonos corporativos. En la primera sección comenzamos con una breve definición y algunos conceptos básicos. En la sección dos, enumeraremos el tipo de inversores para quienes estos productos pueden ser interesantes y cómo se podría fijar el precio. Posteriormente, en la sección tres, pasamos al análisis de la regla de negociación propuesta, es decir, la comparación con los bonos corporativos, nuestro punto de referencia, en términos de rentabilidad esperada. En las secciones cuatro y cinco señalaremos, respectivamente, algunas cuestiones clave sobre cómo se puede reducir el riesgo de crédito asociado a estos productos y, finalmente, en la última sección, concluiremos con algunas discusiones y comentaremos las investigaciones más recientes sobre este tema

  • English

    In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two, we will enumerate the type of investors to whom these products might interesting and how to price them. Afterwards, in section three we move onto the analysis of the trading rule proposed, that is, the comparison with Corporate bonds, our benchmark, in terms of expected returns. In sections four and five, we will point out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section, we will conclude with some discussions and remark the state-of-the-art research on this field.

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