Hedging flood losses using cat bonds

Authors: Têtu, Alexandre; Lai, Van SonSoumaré, IssoufGendron, Michel
Abstract: In this paper, we develop a methodology to model the risk of losses resulting from a natural disaster in which the intensity parameter of the non- homogeneous Poisson process has an upward trend and a seasonal component. We apply this model to losses due to floods in the Financial Assistance Program of the Government of Quebec (Canada). We use the historically observed risk premiums to assess the financial costs for the government if it had issued such instruments to hedge risk linked to floods.
Document Type: Article de recherche
Issue Date: 4 June 2015
Open Access Date: 7 September 2017
Document version: VoR
Permalink: http://hdl.handle.net/20.500.11794/15263
This document was published in: Asia-Pacific Journal of Risk and Insurance, Vol. 9 (2), 149-184 (2015)
http://dx.doi.org/10.1515/apjri-2014-0024
De Gruyter
Alternative version: 10.1515/apjri-2014-0024
Collection:Articles publiés dans des revues avec comité de lecture

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