caa a22 4500 388070811 CHVBK 20180307125148.0 cr unu---uuuuu 161130e199905 xx s 000 0 eng 10.2143/AST.29.1.504608 doi S0515036100003512 pii (NATIONALLICENCE)cambridge-10.2143/AST.29.1.504608 Schmock Uwe Mathematical Finance, Department of Mathematics, ETH Zürich Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk [Elektronische Daten] [Uwe Schmock] The three annual 2¼% interest coupons of the Winterthur Insurance convertible bond (face value Chf 4 700) will only be paid out if during their corresponding observation periods no major storm or hail storm on one single day damages at least 6 000 motor vehicles insured with Winterthur Insurance. Data for events, where storm or hail damaged more than 1 000 insured vehicles, are available for the last ten years. Using a constant-parameter model, the estimated discounted value of the three Wincat coupons together is Chf 263.29. A conservative evaluation, which accounts for the standard deviation of the estimate, gives a coupon value of Chf 238.25. However, fitting models which admit a trend or a change-point, leads to substantially higher knock-out probabilities of the coupons. The estimated discounted values of the coupons can drop below the above conservative value; a conservative evaluation as above leads to substantially lower values. Hence, already the model uncertainty is higher than the standard deviations of the used estimators. This shows the dominance of the model risk. Consistency, dispersion, robustness and sensitivity of the models are analysed by a simulation study. Copyright © International Actuarial Association 1999 Wincat coupon nationallicence Winterthur Insurance nationallicence catastrophe bond nationallicence storm nationallicence hail nationallicence model risk nationallicence (generalised) Pareto distribution nationallicence generalised extreme value distribution nationallicence composite Poisson model nationallicence generalised linear model nationallicence changepoint nationallicence peaks over threshold nationallicence ASTIN Bulletin Cambridge University Press 29/1(1999-05), 101-163 0515-0361 29:1<101 1999 29 ASB https://doi.org/10.2143/AST.29.1.504608 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2143/AST.29.1.504608 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Schmock Uwe Mathematical Finance, Department of Mathematics, ETH Zürich NATIONALLICENCE 773 0- ASTIN Bulletin Cambridge University Press 29/1(1999-05), 101-163 0515-0361 29:1<101 1999 29 ASB CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge