...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Astin bulletin >CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION
【24h】

CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION

机译：具有机率风险特征的产品概率度量下的猫债券定价

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Frequent large losses from recent catastrophes have caused great concerns among insurers/reinsurers, who then turn to seek mitigations of such catastrophe risks by issuing catastrophe (CAT) bonds and thereby transferring the risks to the bond market. Whereas, the pricing of CAT bonds remains a challenging task, mainly due to the facts that the CAT bond market is incomplete and that the pricing usually requires knowledge about the tail of the risks. In this paper, we propose a general pricing framework based on a product pricing measure, which combines a distorted probability measure that prices the catastrophe risks underlying the CAT bond with a risk-neutral probability measure that prices interest rate risk. We also demonstrate the use of the peaks over threshold (POT) method to uncover the tail risk. Finally, we conduct case studies using Mexico and California earthquake data to demonstrate the applicability of our pricing framework.
机译：最近发生的巨灾造成的巨额损失引起了保险公司/再保险公司的极大关注，保险公司/再保险公司随后通过发行巨灾（CAT）债券并寻求将风险转移到债券市场上，以寻求减轻此类巨灾风险的能力。鉴于CAT债券的定价仍然是一项艰巨的任务，这主要是因为CAT债券市场不完整，而且定价通常需要了解风险的尾巴。在本文中，我们提出了一个基于产品定价度量的通用定价框架，该框架将扭曲CAT债券潜在的巨灾风险的概率度量与定价利率风险的风险中性概率度量相结合。我们还演示了使用峰值超过阈值（POT）方法来发现尾部风险。最后，我们使用墨西哥和加利福尼亚地震数据进行案例研究，以证明我们的定价框架的适用性。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号