Search Results (6)

This research aimed to explore UK cat owners’ preferences for treatments for feline osteoarthritis (OA) by exploring preferences around quality of life (QoL) improvements, safety considerations, and costs associated with hypothetical innovative pain therapies. Aspects identified in an existing conceptual framework were extracted for inclusion in exploratory interviews with cat owners (n = 3) to identify key domains that contribute to the QoL of cats. QoL descriptions for cats with OA and hypothetical product attributes were developed and validated through interviews with veterinarians (n = 3). An online survey was subsequently shared with 255 pet owners in the UK. Pet owners were presented with QoL descriptions and hypothetical product attributes to gather their preferences for QoL improvements and their willingness to pay (WTP) for (unbranded) pain therapies at various price points. Pet owners were motivated to improve their cats’ QoL, which translated into WTP for therapies; specifically, pet owners valued QoL improvements in mobility, pain expression, and well-being. When presented with a product profile of the hypothetical novel monoclonal antibody (mAb) and cost, 50% of cat owners were willing to pay more for a mAb that is expected to have improved efficacy and safety when compared to a hypothetical standard of care (SoC). Significantly more pet owners preferred the mAb than the SoC when price was not presented (p < 0.01), with product efficacy and safety driving pet owners’ decision-making. The majority of pet owners did not agree that taking their cats to the veterinarian once a month for their treatment would be burdensome. Cat owners in the UK are motivated to improve their cats’ QoL, which translates into WTP for the efficacious treatment of pain associated with osteoarthritis. Veterinarians should offer cat owners the pain treatment they feel is best suited for improving the cat’s QoL and to ensure subsequent owner-pet bond is preserved. Full article

Pandemic bonds can be used as an effective tool to mitigate the economic losses that governments face during pandemics and transfer them to the global capital market. Once considered as an “uninsurable” event, pandemic bonds caught the attention of the world with the issuance of pandemic bonds by the World Bank in 2017. Compared to other CAT bonds, pandemic bonds received less attention from actuaries, industry professionals, and academic researchers. Existing research focused mainly on how to bring epidemiological parameters to the pricing mechanism through compartmental models. In this study, we introduce the stochastic logistic growth model-based pandemic bond pricing framework. We demonstrate the proposed model with two numerical examples. First, we calculate what investor is willing to pay for the World Bank issued pandemic bond while accounting for possible future pandemic, but require to have the same yield to maturity when no pandemic is there, and without using COVID-19 data. In the second example, we calculate the fair value of a pandemic bond with characteristics similar to the World Bank issued pandemic bond, but using COVID-19 data. The model can be used as an alternative to epidemic compartmental model-based pandemic bond pricing mechanisms. Full article

The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an extreme dependence structure. Due to the bond’s low cashflow contingencies and the CAT bond’s high return, the multiple-event CAT bond may successfully transfer the catastrophe risk to the huge financial markets to meet the diversification of capital allocations for most potential investors. The designed hybrid trigger mechanism helps reduce the moral hazard and increase the bond’s attractiveness with a lower trigger likelihood, displaying the determinants of the wiped-off coupon and principal by both the magnitude and intensity of the natural disaster events involved. As the trigger indicators resulting from the potential catastrophic disaster might be associated with heavy-tailed margins, nested Archimedean copulas are introduced with marginal distributions modeled by a POT-GP distribution for excess data and common parametric models for moderate risks. To illustrate our theoretical pricing framework, we conduct an empirical analysis of pricing a three-event rainstorm CAT bond based on the resulting losses due to rainstorms in China during 2006–2020. Monte Carlo simulations are carried out to analyze the sensitivity of the rainstorm CAT bond price in trigger attachment levels, maturity date, catastrophe intensity, and numbers of trigger indicators. Full article

The use of the cloud to store personal/company data and to run programs is gaining wide acceptance as it is more efficient and cost-effective. However, cloud services may not always be available, which could lead to losses for customers and the cloud provider (the provider is typically obligated to compensate its customers). It can protect itself from such losses through insurance, which transfers the risk to the insurer. In the case of poor cloud availability, the amount that the insurer has to pay back to the cloud provider may become so high that it endangers the insurer’s financial solvency. We propose the use of cat bonds as reinsurance tools as well as the Nowak–Romaniuk pricing scheme. The outage frequency was described by the Poisson process and the loss severity was described by a Pareto random variable; we derived a closed formula for the price of a cat bond in a stochastic interest rate environment, using both one-factor and two-factor short-rate models. We demonstrated the applicability of our pricing formula in a real context. Full article

The compound Poisson process (CPP) is often used in catastrophe risk modeling, for example, aggregate loss risk modeling. Hence, CPP can be involved in pricing catastrophe bonds (CAT bonds) because it requires a catastrophe risk modeling method. However, studies of how the application of CPP in pricing CAT bonds is still scarce. Therefore, this study aims to conduct a systematic literature review (SLR) on how CPP is used in pricing CAT bonds. The SLR consists of three stages: the literature selection, bibliometric analysis, and gap analysis. At the literature selection stage, the 30 articles regarding the application of CPP in pricing CAT bonds are obtained. Then, the conceptual and nonconceptual structures of the articles are mapped at the bibliometric analysis stage. Finally, in the gap analysis stage, the application of CPP in pricing CAT bonds from the previous studies is analyzed, and new research opportunities are studied. This research can be a reference for researchers regarding the application of CPP in pricing CAT bonds and can motivate them to design more beneficial ways of pricing CAT bonds with CPP in the future. Full article

Shot-noise processes generalize compound Poisson processes in the following way: a jump (the shot) is followed by a decline (noise). This constitutes a useful model for insurance claims in many circumstances; claims due to natural disasters or self-exciting processes exhibit similar features. We give a general account of shot-noise processes with time-inhomogeneous drivers inspired by recent results in credit risk. Moreover, we derive a number of useful results for modeling and pricing with shot-noise processes. Besides this, we obtain some highly tractable examples and constitute a useful modeling tool for dynamic claims processes. The results can in particular be used for pricing Catastrophe Bonds (CAT bonds), a traded risk-linked security. Additionally, current results regarding the estimation of shot-noise processes are reviewed. Full article