An Empirical Analysis of Recent Dynamics of Catastrophe Bonds
คำสำคัญ:
Catastrophe bonds, Insurance-linked securities, Expected loss pricing, Quantile regression, Disaster risk financingบทคัดย่อ
This study extends catastrophe bond pricing analysis to the post-2012 period, examining how structural innovations, market regime shifts, and cross-peril diversification influence primary market spreads. I analyze catastrophe bond tranches issued over the past decade and a half, incorporating extended structural variables including life/mortality risks, emerging risks, risk modeling disclosure, upsize options, and aggregate structures. Structural break tests identify economically meaningful regime shifts at 2020 (COVID-19 pandemic) and 2022 (hard reinsurance market peak). Quantile regression across the spread distribution reveals substantial pricing heterogeneity masked by conditional mean analysis. Cross-peril differentials constitute first-order pricing determinants: life bonds trade at material discounts while emerging risks command sizable premiums, magnitudes that dwarf structural feature effects. Post-2020 repricing exhibits steeper expected loss slopes, surging PEAK territory premiums, and activated emerging risk premiums, representing demand-side risk aversion distinct from 2022’s supply-side capacity constraints. Expected loss pricing is strongly convex, rising dramatically from lower to upper quantiles, while capital market pass-through amplifies in distribution tails. These findings reveal pronounced cross-sectional and temporal heterogeneity in catastrophe bond pricing, with implications for sponsors’ peril selection strategies, investors' portfolio positioning, and sovereigns’ regional risk-pooling arrangements.
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