Weather risk management [Elektronische Ressource] : CAT bonds and weather derivatives / von Brenda López Cabrera

Weather Risk Management: CAT bonds and WeatherDerivativesDISSERTATIONzur Erlangung des akademischen Gradesdoctor rerum politicarum(Doktor der Wirtschaftswissenschaft)eingereicht an derWirtschaftwissenschaftlichen FakultaetHumboldt-Universitaet zu BerlinvonFrau M.Sc. Brenda López Cabrera13.03.1980 in Puebla, MexikoPräsident der Humboldt-Universitaet zu Berlin:Prof. Dr. Christoph MarkschiesDekan der Wirtschaftwissenschaftlichen Fakultaet:Prof. Oliver Guenther, Ph.D.Gutachter:1. Prof. Dr. Wolfgang Haerdle2. Prof. Dr. Vladimir Spokoinyeingereicht am: 17 März 2010Tag des Kolloquiums: 27 April 2010AbstractCAT bonds and weather derivatives are end-products of a process known as se-curitization that transform non-tradable (natural catastrophes or weather related)risk factors into tradable financial assets. As a result the markets for such prod-ucts are typically incomplete. Since appropiate measures of the risk associated toa particular price become necessary for pricing, one essentially needs to incorpo-rate the market price of risk (MPR), which is an important parameter of the as-sociated equivalent martingale measure. The majority of papers so far has pricednon-tradable assets assuming zero MPR, but this assumption yields biased pricesand has never been quantified earlier.