caa a22 4500 388070900 CHVBK 20180307125148.0 cr unu---uuuuu 161130e199905 xx s 000 0 eng 10.2143/AST.29.1.504609 doi S0515036100003524 pii (NATIONALLICENCE)cambridge-10.2143/AST.29.1.504609 An Addendum and a Short Comment on the Paper [Elektronische Daten] In January 1997, Winterthur Insurance, together with Credit Suisse First Boston (CSFB), issued the first listed CAT bond. The annual "WINCAT0 coupons of this three-year convertible bond are knocked out if any single storm event damages more than 6,000 vehicles insured by Winterthur Insurance in Switzerland. This was a completely new way of securing insurance risks. The main intention was to test the Swiss capital market for such products and to make investors acquainted with them. Thereby Winterthur, together with CSFB, set new standards in product transparency, fairness of pricing and investor education by making the historical data available via internet and by publishing a special brochure (CSFB (1997)), where the pricing and the mathematical modelling are described in detail. This is also a prerequisite to enable a scientific discussion on pricing aspects of such new financial products. The developers of the bond are therefore grateful to Mr. Schmock for this valuable scientific contribution which can be seen as a thorough and profound statistical analysis on the knock-out probability for the purpose of quantifying the model uncertainty. In Section 2 we briefly summarize the whole pricing of the bond at the issue date and show that there were several risk premium elements in this pricing where the conservative estimation of the knock-out probability was just one of them. In Section 3 we consider the modelling of low frequency risks from a practitioner's standpoint and formulate some requirements from practice. In Section 4 we make some further comments on the modelling of the Wincat data. Section 5 is a short summary. Copyright © International Actuarial Association 1999 Gisler Alois Winterthur Insurance Company Frost Patrick Winterthur Insurance Company ASTIN Bulletin Cambridge University Press 29/1(1999-05), 165-171 0515-0361 29:1<165 1999 29 ASB https://doi.org/10.2143/AST.29.1.504609 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2143/AST.29.1.504609 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Gisler Alois Winterthur Insurance Company NATIONALLICENCE 700 1- Frost Patrick Winterthur Insurance Company NATIONALLICENCE 773 0- ASTIN Bulletin Cambridge University Press 29/1(1999-05), 165-171 0515-0361 29:1<165 1999 29 ASB CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge