Catastrophe bond pricing based on behavior model

Liu S, Han L, Ermoliev Y, & Ermolieva T (2009). Catastrophe bond pricing based on behavior model. In: Proceedings of the IASTED International Conference on Modelling, Simulation, and Identification.

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Abstract

Although the catastrophe bond is used more and more widely, the pricing is not so satisfactory because of its catastrophe-depending characteristics. In this paper, we propose a new behavior model to get the so-called fair price of catastrophe bond considering both the issuer's and government's benefit. This proposed approach supports calculation of the coupon rate and volume scale for a given class of catastrophe bond, and one of the simulation results of the model is shown in this paper.

Item Type: Conference or Workshop Item (UNSPECIFIED)
Uncontrolled Keywords: Catastrophe Bond; Pricing; Behavior Model; Monte-Carlo Simulation
Research Programs: Greenhouse Gas Initiative (GGI)
Integrated Modeling Environment (IME)
Institute Scholars (INS)
Modeling Land-Use and Land-Cover Changes (LUC)
Bibliographic Reference: In: H. Ma, S. Narayanan (eds); Proceedings of the IASTED International Conference on Modelling, Simulation, and Identification; MSI 2009, 12-14 October 2009, Beijing, China
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Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:42
Last Modified: 17 Feb 2016 12:31
URI: http://pure.iiasa.ac.at/9050

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