Portfolio Optimization with Catastrophe Bonds

Detta är en C-uppsats från Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

Sammanfattning: This thesis investigates properties of the returns of catastrophe bonds and their risk diversification potential in portfolios. Ideas from existing literature, such as modeling the evolution of the outstanding principal as a compound Poisson process, are extended to take into account the times of occurrence of the loss events, which are important for the returns of catastrophe bonds with certain types of payment structure. Monte Carlo sampling of joint returns is used for optimization of risk measures such as value-at-risk and conditional value-at-risk, where a special method for rendering standard nonlinear optimization techniques applicable is developed. Numerical results performed for illustrative purposes showcase key characteristics of portfolios augmented by a single catastrophe bond as well as one exclusively consisting of catastrophe bonds.

  HÄR KAN DU HÄMTA UPPSATSEN I FULLTEXT. (följ länken till nästa sida)