Analysis of Risk Premium Determinants on Cat Bonds

AbstractThis paper presents an analysis of the risk premium determinants on catastrophe bonds (cat bonds). Firstly, from a theoretical point of view, the existing models used for determining the level of risk premiums will be presented through a comparative analysis. Then, through an empirical approach we’ll present our results by taking into consideration cat bonds covering earthquake risk issued during 1999-2012. The first model shows the existing relationship between the expected losses of the company that requires coverage through an alternative risk transfer instrument such as cat bonds and the level of risk premium. By estimating our model in different conditions, taking as parameters the location and the frequency of the events, the fluctuations of risk premiums can be observed. In case of cat bonds covering USA earthquakes the risk premium is greater than those covering Japan earthquakes. Through the second model we aim to observe the determinants that influence risk premium. The explanatory variables taken into consideration are: the issuing amount, the probability of event occurrence, conditional expected loss, the probability of exhaustion, maturity, the rating and the trigger type of each bond. The results show that the probability of event occurrence and credit rating of the bond are significant determinants of risk premium, being considered by the investors when they decide to diversify their portfolio through financial instruments that are not affected by the volatility from financial markets. These results are mostly consistent with existing theoretical models but can also be observed certain differences which will be discussed. The moment when investors start to lose money is perceived more serious than the amount they will lose. As regards the rating, it offers information about the quality of the bond. Given the importance of this risk premium determinant we’ll also present the main factors considered by the rating agencies in the moment of setting a certain rating for a cat bond

Tips and tricks for laparoscopic cholecystectomy in the patient with ventriculoperitoneal shunt; a case report

Laparoscopic surgery in patients with ventriculo-peritoneal shunt is challenging in terms of technical approach. The severity of possible complications and the lack of studies on this association increase the surgeon's discomfort with such surgery. The main complications that may occur are increased intracranial pressure, secondary pneumo-peritoneum pneumocephalus, encephalitis and the risk of catheter injury during laparoscopic procedures. We present the case of a 56-year-old patient operated in 2004 for a basilar artery top aneurysm with subarachnoid hemorrhage and secondary hydrocephalus, for which a ventriculo- peritoneal shunt was fitted. This patient presented in our clinic with diffuse abdominal pain, more accentuated in the right hypochondrium, nausea, postprandial biliary vomiting, inappetence, asthenia, fatigability, symptoms with onset about 6 months, but accentuated in the last 48 hours. The patient underwent surgery and the evolution was favorable, being discharged without postoperative complications

Cervicofacial necrotizing fasciitis of odontogenic origin

Introducción: la fascitis necrotizante es una infección bacteriana, rara, destructiva y rápidamente progresiva de los tejidos subcutáneos y la fascia superficial que en los estadios más avanzados involucra la piel y está asociada a altos índices de morbilidad y mortalidad.Objetivos: describir la fascitis necrotizante cervicofacial de origen odontogénico y sus principales causas y factores predisponentes.Métodos: se realizó un estudio observacional, descriptivo, transversal en el Hospital General de Benguela, Angola, de abril de 2014 a abril de 2016. Se estudió toda la población, constituida por 77 pacientes que fueron atendidos en este centro con diagnóstico de fascitis necrotizante cervicofacial odontogénica. Las variables de estudio fueron el sexo, los grupos de edad, los factores predisponentes, los tratamientos ambulatorios, la hemoglobina al ingreso, el foco infeccioso dental y las características clínicas. Se emplearon estadígrafos descriptivos. La información se extrajo de las historias clínicas. Resultados: el 73% del total de casos perteneció al sexo masculino, hubo 12 pacientes con enfermedades sistémicas que desarrollaron una fascitis necrotizante cervicofacial, los antiinflamatorios no esteroideos se usaron en el 94,8% de los enfermos, se constató hemoglobina baja en el 88,3% de los casos y el 80% de los pacientes arribaron al centro hospitalario con enfermedad avanzada. Conclusiones: la principal causa de la fascitis necrotizante cervicofacial fueron los focos sépticos de origen dentario. Esta enfermedad está relacionada a procesos simples que no recibieron un tratamiento adecuado en la comunidad.Introduction: necrotizing fasciitis is a rare, destructive and rapidly progressive bacterial infection of the subcutaneous tissues and superficial fascia that in the most advanced stages involves the skin and is associated with high morbidity and mortality rates.Objectives: to describe cervicofacial necrotizing fasciitis of odontogenic origin and its main causes and predisposing factors.Methods: an observational, descriptive, cross-sectional, descriptive study was carried out in the General Hospital of Benguela, Angola, from April 2014 to April 2016. The entire population was studied, which consisted by 77 patients who were assisted in this center with a diagnosis of cervicofacial odontogenic necrotizing necrotizing cervicofacial fasciitis. The study variables were sex, age groups, predisposing factors, outpatient treatment, hemoglobin on admission, dental infectious focus and clinical characteristics. Descriptive statistics were used. The information was extracted from the medical records. Results: 73% of all cases were male, 12 patients with systemic diseases developed cervicofacial necrotizing fasciitis, non-steroidal anti-inflammatory drugs were used in 94.8% of patients, hemoglobin was low in 88.3% of cases and 80% of patients arrived at the hospital with advanced disease. Conclusions: the main cause of cervicofacial necrotizing fasciitis was septic foci of dental origin. This disease is related to simple processes that were not adequately treated in the community

CATASTROPHIC EVENTS MODELING

This paper presents the emergence and evolution of catastrophe models (cat models). Starting with the present context of extreme weather events and features of catastrophic risk (cat risk) we’ll make a chronological illustration from a theoretical point of view of the main steps taken for building such models. In this way the importance of interdisciplinary can be observed. The first cat model considered contains three modules. For each of these indentified modules: hazard, vulnerability and financial losses a detailed overview and also an exemplification of a potential case of an earthquake that measures more than 7 on Richter scale occurring nowadays in Bucharest will be provided. The key areas exposed to earthquake in Romania will be identified. Then, based on past catastrophe data and taking into account present conditions of housing stock, insurance coverage and the population of Bucharest the impact will be quantified by determining potential losses. In order to accomplish this work we consider a scenario with data representing average values for: dwelling’s surface, location, finishing works. On each step we’ll make a reference to the earthquake on March 4 1977 to see what would happen today if a similar event occurred. The value of Bucharest housing stock will be determined taking firstly the market value, then the replacement value and ultimately the real value to quantify potential damages. Through this approach we can find the insurance coverage of potential losses and also the uncovered gap. A solution that may be taken into account by public authorities, for example by Bucharest City Hall will be offered: in case such an event occurs the impossibility of paying compensations to insured people, rebuilding infrastructure and public buildings and helping the suffering persons should be avoided. An actively public-private partnership should be created between government authorities, the Natural Disaster Insurance Pool, private insurance companies, reinsurers, stock exchanges, institutions specialized in cat events modeling in order to develop and use alongside compulsory and facultative insurance of buildings new alternative risk transfer solutions as catastrophe bonds(also known as cat bonds)

THE SOLVENCY II APPROACH ON THE CAPITAL CHARGE FOR THE NON-LIFE CATASTROPHIC RISK

This paper addresses a current issue: the assessment and the establishment of the capital charge for the non-life catastrophic risk (cat risk) in terms of Solvency II Directive. Firstly we’ll present several aspects on the conditions and the defining elements of Solvency II Directive implementation, by positioning us in the underwriting risk module, cat risk being a component of it. Nowadays the cat risk is a concern for the insurance companies and in order to have an harmonized legislation on the insurance industry for all Member States of the European Union this was a sensitive topic being presented various approaches regarding the methods used for determining the level of the capital charge. We’ll present the main methods proposed in the Quantitative Impact Studies QIS4: standard approach, scenarios and personalized scenarios and also those proposed in QIS5: standardised scenarios and factor-based approach. Our purpose is to illustrate the situations when each alternative is most efficient to be used and also the steps taken from one quantitative impact study to another in order to have an accurate method of the cat risk assessment. Taking into account that these are standardised formulas, there are certain cases when the results are not consistent with the reality, especially for the insurers with a different structure of the insured portfolio, for example those having a large part of the insurance policies issued for a single line of business. In these cases it is recommended to use undertaking specific parameters (USP). Once presented these methods we’ll offer an example for the calculation of the capital charge for the earthquake risk using standardised scenarios for Natural Disaster Insurance Pool (PAID). In order to achieve this goal we’ll perform an analysis of the mandatory household insurance policies against natural disasters (PAD policies) in force in December 2013, these being grouped on CRESTA zones to determine the total insured value for each of the 41 zones in Romania. These values being calculated and using the technical parameters offered by an Annex of QIS 5 we obtained a value of around 227 million Euro for the earthquake cat capital requirement for PAID