Table of Contents
Financial Risk Management of Insurance Enterprises
Securitization of Catastrophe Risk
Securitization of Catastrophe Risk
CBOT Catastrophe Insurance Futures and Options
Initial CBOT CAT Insurance Futures
PCS Catastrophe Insurance Options
PCS Catastrophe Index Valuation
PCS Option Pricing
Current Status of PCS Options
Problems with the PCS Options
Additional Sources of Information on PCS Options
Alternative Catastrophe Securitization
Cat-E-Puts Written by AON
Benefits of Cat-E-Puts
Components of Cat-E-Puts
Components of Cat-E-Puts
Hypothetical Cat-E-Put Example
Hypothetical Cat-E-Put Example
Alternative Catastrophe Securitization
Examples of Risk Capital
USAA Catastrophe Bonds
USAA Catastrophe Bonds
Swiss Re Catastrophe Bonds
Swiss Re Catastrophe Bonds
Pricing of Risk Capital
Additional Points Concerning Risk Capital
Summary