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Based on Extreme Value Theory Catastrophe Bond Pricing

Author: HuangJianChuang
Tutor: GuoHaiHua
School: Jinan University
Course: Quantitative Economics
Keywords: Catastrophe risk securitization Catastrophe bonds Extreme Value Theory Monte Carlo Simulation
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 149
Quote: 1
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Abstract


Since the 1990s , the frequency and extent of the loss catastrophe rising trend in the insurance industry to the world posed a serious challenge. Faced with this challenge , Western countries took the lead in financial innovation , capital strength will shift attention to the relatively strong capital markets , promoting the rise of catastrophe risk securitization . Based on this background , this article from the perspective of extreme value theory , catastrophe risk bonds in the system combing research at home and abroad on the basis of application of the generalized Pareto distribution fitting distribution model of earthquake losses , and then study the general catastrophe bond pricing mechanism build for our catastrophe bond pricing model . This article first catastrophe risk securitization products and related research on extreme value theory is briefly summarized ; subsequently excellent properties with extreme value theory , the use of extreme value theory to fit the generalized Pareto distribution tail of the distribution of earthquake losses constructed distribution model of earthquake damage , and get a good fitting effect ; in establishing the basis of the loss distribution model , this paper put forward China 's earthquake bond pricing model, considering the stochastic interest rate process and the distribution of earthquake losses , and the moral risk, basis risk and default risk are taken into account , the actual suit catastrophe bond pricing ; Finally, we use Monte Carlo simulation method for building seismic bond pricing model to price trend analysis .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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