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Bodoff and Gan Win 2009 Reinsurance Prize

Neil Bodoff and Yunbo Gan were awarded the 2009 Reinsurance Prize at the Reinsurance Seminar in Bermuda last May for their paper “An Analysis of the Market Price of Cat Bonds.”   

Motivated to address this issue since existing models of the market price of cat bonds are often overly exotic or too simplistic, Mr. Bodoff and Mr. Gan analyze several years of cat bond prices “when issued.” In their paper they describe the market-clearing issuance price of cat bonds as a linear function of expected loss, with parameters that vary by peril and zone.

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