[HTML][HTML] A random forest based approach for predicting spreads in the primary catastrophe bond market
We introduce a random forest approach to enable spreads' prediction in the primary
catastrophe bond market. In a purely predictive framework, we assess the importance of …
catastrophe bond market. In a purely predictive framework, we assess the importance of …
[HTML][HTML] Forecasting accuracy of machine learning and linear regression: evidence from the secondary CAT bond market
T Götze, M Gürtler, E Witowski - Journal of Business Economics, 2023 - Springer
The main challenge in empirical asset pricing is forecasting the future value of assets traded
in financial markets with a high level of accuracy. Because machine learning methods can …
in financial markets with a high level of accuracy. Because machine learning methods can …
[HTML][HTML] Improving CAT bond pricing models via machine learning
T Götze, M Gürtler, E Witowski - Journal of Asset Management, 2020 - Springer
Enhanced machine learning methods provide an encouraging alternative to forecast asset
prices by extending or generalizing the possible model specifications compared to …
prices by extending or generalizing the possible model specifications compared to …
Diversification benefits of cat bonds: An in‐depth examination
K Demers‐Bélanger, VS Lai - Financial Markets, Institutions & …, 2020 - Wiley Online Library
We investigate whether the inclusion of Cat Bonds in portfolios composed of traditional
assets and common factors is beneficial to investors. Various mean‐variance spanning tests …
assets and common factors is beneficial to investors. Various mean‐variance spanning tests …
Mitigating wildfire losses via insurance‐linked securities: Modeling and risk management perspectives
This paper investigates the use of catastrophe (CAT) bonds as a risk management tool for
wildfires. We introduce a set of Bayesian dynamic models designed to accurately represent …
wildfires. We introduce a set of Bayesian dynamic models designed to accurately represent …
Forecasting accuracy of machine learning and linear regression evidence from the secondary CAT bond market
G Tobias, G Marc, W Eileen - 2023 - dlib.phenikaa-uni.edu.vn
The main challenge in empirical asset pricing is forecasting the future value of assets traded
in financial markets with a high level of accuracy. Because machine learning methods can …
in financial markets with a high level of accuracy. Because machine learning methods can …
[CITATION][C] How to Deal with Small Data Sets in Machine Learning: An Analysis on the CAT Bond Market
T Götze, M Gürtler, E Witowski - Available at SSRN, 2020