The Research On Catastrophe Insurance Risk Securitization

China is one of countries which suffered most serious losses from natural disasters in theworld,the disasters caused ten billions or hundred billons losses, even caused trillion billonslosses each year. Solely relying on traditional insurance, can not afford such a huge loss. Inforeign countries, they have already carried out catastrophe insurance risk securitization,catastrophe risk transfers to the more powerful market-capital market. This measure get agreat success. Development Chinese catastrophe insurance risk securitization is imperative.This paper attempts to price catastrophe bond as an entry point for more in-depth quantitativeresearch on catastrophe insurance risk securitization.Chapter one analyzes the significance of select catastrophe insurance risk securitizationas a thesis topic in this paper, and then summarize the current situation of foreign anddomestic research on this topic, at last chart the research idea.Chapter two introduces the basic content of the of catastrophe insurance risksecuritization. This chapter the introduces the concept and transaction structure of catastropheinsurance risk securitization, and on this basis to analyze the significance of China’sdevelopment of catastrophe insurance risk securitization, as well as in numerous catastropheinsurance risk products, the reason of choosing catastrophe bonds, that is, the reason selectcatastrophe bonds do empirical simulation analysis in this paper.Chapter three first describes commonly used two models of catastrophe insurance risksecuritization product pricing, financial instruments, pricing and actuarial pricing methods.Followed by analysis of the limitations of financial instruments pricing methods and actuarialpricing method in the earthquake catastrophe bonds empirical analog applications, suited toChina’s national conditions on the basis of catastrophe bond pricing model.Chapter IV using real data to do empirical simulation analysis, to price catastrophebonds. First establish the distribution model of catastrophe losses and catastrophicoccurrences distribution model, then use the distribution model to build the catastrophe lossesdistribution model. Build two interest rate models, draw interest rates binomial distribution.Finally, derived issue price of security bonds and risk-free bonds from. catastrophe lossesdistribution model and the two interest rate model.