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	Pricing Model for Earthquake CAT Bonds
	Tao, Zhengru ; Tao, Xiaxin ; Li, Ping ; Tao ZR(陶正如)
	2009
英文摘要	Conference Name:2nd International Conference on Business Intelligence and Financial Engineering. Conference Address: Beijing, PEOPLES R CHINA. Time:JUL 24-26, 2009.; Catastrophe bond (CAT bond) is one of the most active instruments to transfer catastrophic risk into the capital market around the whole world. And the pricing theories are developed recently. For earthquake disaster, a pricing model, base on engineering seismic risk assessment, is given. The occurring probability of a defined earthquake catastrophe, estimated by seismic risk assessment method, is adopted as an input. Some factors, like yields and proportion of reinvestment, principal protected ratio, issuance fee, circulation, maturity period, claim payments of insurers and reinsurers, are designed. The cash flows of earthquake insurance premium in complete and incomplete markets are described by Geometric Brownian Motion and Jump-Diffusion processes respectively. The annual coupon rate of a CAT bond is calculated under the equilibrium between the incomes of investors and issuers. The feasibility of the model is represented by a production.
语种	英语
出处	http://dx.doi.org/10.1109/BIFE.2009.171
出版者	IEEE COMPUTER SOC
内容类型	其他
源URL	[http://dspace.xmu.edu.cn/handle/2288/85581]
专题	经济学院－会议论文
推荐引用方式 GB/T 7714	Tao, Zhengru,Tao, Xiaxin,Li, Ping,et al. Pricing Model for Earthquake CAT Bonds. 2009-01-01.

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