We develop a conceptual framework to model the seasonality in the probability of catastrophe bonds being triggered. This seasonality causes strong seasonal fluctuations in spreads. For example, the spread on a hurricane bond is highest at the start of the hurricane season and declines as time goes by without a hurricane. The spread is lowest at the end of the hurricane season assuming the bond was not triggered, and then gradually increases as the next hurricane season approaches. The model also implies that the magnitude of the seasonality effect increases with the expected loss and the approaching maturity of the bond. The model is supported by an empirical analysis that indicates that up to 47% of market fluctuations in the yield spreads on single-peril hurricane bonds can be explained by seasonality. In addition, we provide a method to obtain market-implied distributions of arrival frequencies from secondary market spreads.

中文翻译：

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巨灾债券的季节性和市场隐含的巨灾到达频率

我们开发了一个概念框架来模拟触发巨灾债券概率的季节性。这种季节性会导致点差出现强烈的季节性波动。例如，飓风债券的利差在飓风季节开始时最高，随着时间的推移没有飓风而下降。假设债券没有被触发，利差在飓风季节结束时最低，然后随着下一个飓风季节的临近而逐渐增加。该模型还暗示季节性效应的幅度随着预期损失和债券到期日的临近而增加。该模型得到了一项实证分析的支持，该分析表明，单风险飓风债券收益率利差中高达 47% 的市场波动可以用季节性来解释。此外，