Catastrophe bond pricing based on behavior model
Authors: Liu S, Han L, Ermoliev Y, Ermolieva T
Publication Year: 2009
Reference: Proceedings of the IASTED International Conference on Modelling, Simulation, and Identification, H. Ma, S. Narayanan (eds)
MSI 2009, 12-14 October 2009, Beijing, China
[ISBN 978-0-88986-839-7]
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.
KEYWORDS: Catastrophe Bond; Pricing; Behavior Model; Monte-Carlo Simulation
KEYWORDS: Catastrophe Bond; Pricing; Behavior Model; Monte-Carlo Simulation
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