Based On The Extreme Value Theory Of Catastrophe Risk Management Research

Since the1990s,the global catastrophe events(man-made disasters or natural disaster)occurred more frequently, and the loss is becoming more and more serious.In the background, the huge loss to internationl insurance industry has brought serious challenges. Capital of capital market is abundant, the risk of investors also need more financial produ cts in order to better spread the portfolio risk, and the occurrence of catastrophic events is not related to the capital market.then throug h the capital market to disperse catastrophe risk insurance industry is a kind of effective method.Based on the characteristics of the catastrophe risk and the use of the extreme value theory,we are accord to the comprehensive arrang ement of catastrophe risk management and the pricing theory of catat ophe risk produce to study on earthquake catastrophe risk management,ca tastrophe risk produce pricing in our country. Finally,the extreme valu e theory model is applied to fit the earthquake loss distribution in our country.Atthe same time,on this basic the general pricing principle of catastrophe bond,we construct the suitable for our country’s earthq uake catastrophe bond pricing model.Because our country is not fully the catastrophe risk of loss of data, so we can not use catastrophe risk data to get the corresponding empirical distribution, and can not price to catastrophe risk. So we use the method of extreme value theory to solve this problem. This metho d effectively avoids to use a large amount of data to get the corresponding empirical distribution function. In this paper, the main content of the third chapter make full use of extreme value theory method for catastrophe risk management. Then we use the theory of extreme value to price catastrophe risk products, include the pricing of catastrophe risk reinsurance products and the pricing of catastrophe risk derivativ es. Finally,in the fourth chapter we embarks from the empirical aspects. We analyze and use more than one hundred million yuan of catastrophe data in China and applied the extreme value theory to model the losses from the earthquake disaster. At last, we get a about catastrophe loss probability distribution. On the basis of the binomial financial mode1theory we built about two stages of earthquake catastrophe bond.