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Multiple-Event Catastrophe Bond Pricing Based on CIR-Copula-POT Model
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-06-25
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Catastrophe events are attracting increased attention because of their devastating consequences.
Aimed at the nonlinear dependency and tail characteristics of different triggered indexes of multiple-event catastrophe bonds, this paper applies Copula function and the extreme value theory to multiple-event catastrophe bond pricing.
At the same time, floating coupon and principal payoff structures are adopted instead of fixed coupon and principal payoff structures, to reduce moral hazard and improve bond attractiveness.
Furthermore, we develop a CIR-Copula-POT bond pricing model with CIR stochastic rate and estimate flood multiple-event triggered catastrophe bond price using Monte Carlo simulation method.
Finally, we implement the sensitivity analysis to show how catastrophe intensity, maturity date, and the dependence affect the prices of catastrophe bonds.
American Psychological Association (APA)
Chao, Wen& Zou, Huiwen. 2018. Multiple-Event Catastrophe Bond Pricing Based on CIR-Copula-POT Model. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-9.
https://search.emarefa.net/detail/BIM-1152660
Modern Language Association (MLA)
Chao, Wen& Zou, Huiwen. Multiple-Event Catastrophe Bond Pricing Based on CIR-Copula-POT Model. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-9.
https://search.emarefa.net/detail/BIM-1152660
American Medical Association (AMA)
Chao, Wen& Zou, Huiwen. Multiple-Event Catastrophe Bond Pricing Based on CIR-Copula-POT Model. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-9.
https://search.emarefa.net/detail/BIM-1152660
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152660