AN ADDENDUM AND A SHORT COMMENT ON THE PAPER

Alois Gisler And Patrick Frost

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e m m a 1997, 2 a A a a l m ] 3 a a pp 4 rusks. m a 5 AN value 1999 is U a y ASTIN I coupon~ BULLE'TIN ADDENDUM AND SHORT COMMENT ON THE PAPER Es'tmmtmg the of the Wmcat o/the Wmterthur convetttble bond study o/the model by Schmock ALOIS GISLERAND PATRICK FROST Wmterthm" lnsm Compan INTRODUCTION In January Wmterthur Insurance, together with Credit Smsse First Boston (CSFB), issued the first hsted CAT bond. The annual "WINCAT" coupons of this three-year convertible bond are knocked out if any single storm event damages more than 6.000 vehicles insured by Wmterthur Insurance Switzerland. This was completely new way of securing insurance The mare mtent~on was to test the Swiss capital market for such products and to make investors acquainted with them. Thereby Wmterthur, together with CSFB, set new standards product transparency, fairness of pricing and investor education by making the historical data available wa mternet and by pubhshmg specml brochure (CSFB (1997)), where the pmcmg and the mathematical modelhng are descmbed detad. This also prerequisite to enable scientific dtscusslon on pricing aspects of such new financml products. The developers of the bond are therefore grateful to Mr. Schmock for this valuable scientific contmbut~on which can be seen as thorough and profound statistical analysis on the knock-out probability for the purpose of quantifying the model uncertainty. In Section we bmefly sumnlarlze the ...

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• Publié par: Sawyung
• Nombre de lectures: 23
• Langue: English

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