DESIGN METHOD OF TRIGGER EVENT DEFINITION OF CAT BOND FOCUSSING ON REDUCTION IN BASIS RISK
It is pointed out that both risk control and risk financing are needed to reduce the seismic risk. Since an earthquake insurance, which is the most popular measure, is limited from the viewpoint of its market size, focused are the other measures that are called alternative risk transfers (hereinafter called ARTs). In many cases ARTs employ full parametric trigger to evaluate compensation, so that basis risk occurs as the difference between the real loss and the compensation, causing the higher risk cost. In this paper, the schematic design method to determine the parametric trigger that was characterized by several grids and forfeiture functions are proposed. A model portfolio consisting of 10 buildings was applied in analyzing the performance of the method. Through the application, the following findings were obtained; the existing method has a room for improvement, the proposed method can reduce the basis risk corresponding to the surplus compensation and the risk cost can be reduced without increasing the risk hedgers risk.
Seismic risk Catastrophe bond Trigger event definition Alternative risk transfer Basis risk Risk management
I. Sato H. Yashiro S. Fukushima
Chief consultant, Tokio Marine & Nichido Risk Consulting, Co., Ltd., Tokyo, Japan Manager, Tokio Marine & Nichido Risk Consulting, Co., Ltd., Tokyo, Japan Senior Researcher,Tokyo Electric Power Services Co., Ltd., Tokyo, Japan
国际会议
14th World Conference on Earthquake Engineering(第十四届国际地震工程会议)
北京
英文
2008-10-12（万方平台首次上网日期，不代表论文的发表时间）