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Pricing dynamics in catastrophe bond issuance
Type
conference speech
Date Issued
2026-04-23
Author(s)
Abstract
This paper investigates the heterogeneous outcomes of market timing decisions using a causal machine learning approach, offering more flexibility than traditional methods. Leveraging the diverse transaction profiles of the catastrophe bond market, we show that issuance timing materially affects primary market spreads, with earlier-issued catastrophe bonds priced more favourably. Capital availability in the reinsurance market and issuance size drive this variability, among other factors. Our findings highlight the importance of accounting for heterogeneity in market timing effects, providing new insights into how strategic timing decisions influence pricing dynamics, with broad implications for asset pricing, investment strategies, and risk management.
HSG Classification
None
Refereed
No
Event Title
13th Conference of Actuarial Science and Finance on Samos
Event Location
Samos, Greece
Event Date
11-16 May 2026
Official URL
Subject(s)
Division(s)