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Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach

This paper analyzes advantages of investing in catastrophe bonds (CATs) in terms of portfolio diversification. Indeed, the increase in environmental disasters and their economic and financial consequences are still poorly covered by insurance and reinsurance companies. As a result, there is a rapid...

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Detalles Bibliográficos
Autores principales: Haffar, Adlane, Le Fur, Éric
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Palgrave Macmillan UK 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9164189/
http://dx.doi.org/10.1057/s41260-022-00271-3