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.

Full text not available from this repository.

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
Related URLs:
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:42
Last Modified: 27 Aug 2021 17:38
URI: https://pure.iiasa.ac.at/9050

Actions (login required)

View Item View Item