摘要：Catastrophe Mortality Bonds are a recent capital market innovation providing insurers and
reinsurers with the possibility to transfer catastrophe mortality risk off their balance sheets to
capital markets.
This article introduces a time-continuous model for analyzing and pricing catastrophe mor-
tality contingent claims based on stochastic modeling of the force of mortality. In addition, we
give an concise survey of past transactions and explain in detail the structure of the deals and
the securities.
Parametrizations of the proposed model based on three different calibration procedures are
derived. The resulting loss profiles and prices are compared to loss profiles provided by the issuers
and to market prices, respectively. We find that the profiles are subject to great uncertainties and
should hence be considered with care by investors and rating agencies. Furthermore, by compar-
ing outcomes of risk-adjusted parametrizations based on insurance quotes and parametrizations
implied by market prices, we are able to give a possible explanation for the relatively fast growth
of the market for Catastrophe Mortality Bonds over the last years.
