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
Related URLs:	Publisher - http://www.iasted.org/conferences/pastinfo-659.html
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

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