Catastrophe Risk Management:Risk Loss Allocation and CAT Bond Pricing

摘要：

　　This paper provides a method to assess and allocate the earthquake catastrophe risk,and designs bond tranches while making a study on the valuation of CAT(catastrophe)bonds.We use POT model to simulate the distribution of direct economic loss caused by earthquakes.Based on the result of earthquake risk losses,we study on the risk allocation of different participants by taking confidence level as their risk tolerance index,including insurance market,reinsurance market,capital market and government finance.In catastrophe diversification mechanism,we focus on the CAT bonds.In order to satisfy investors of different risk preferences,we design and price three levels of bond tranches to fit bond holders investing demands.Bond tranches make the CAT bonds more adaptable to different levels of risk preferences in the capital market and enhance the feasibility of the bond issue.

关键词： catastrophe loss risk diversification POT model bond tranches

作者: Shang Qin Fu Xingrui

作者单位: Faculty of Management and Economics,Dalian University of Technology,Dalian,China,116024

会议类型: 国际会议

会议名称: The 10th (2018)International Conference on Financial Risk and Corporate Finance Management(第十届(2018)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 97-102

在线出版日期: 2018-07-06（万方平台首次上网日期，不代表论文的发表时间）