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Study On The Pricing Of Chinese Earthquake Catastrophe Bond

Posted on:2015-06-25Degree:MasterType:Thesis
Country:ChinaCandidate:S S WeiFull Text:PDF
GTID:2309330428951993Subject:Insurance
Abstract/Summary:PDF Full Text Request
In recent years,the earthquake disaster in China have caused serious influence onthe development of economy. The earthquake catastrophe bond can be transferredfrom the risk in insurance market to the capital market, which not only can enhance ourindustry underwriting capacity, but also enrich the capital market investmentstructure.From the point of view, the introduction of earthquake catastrophe bond inChina is necessary.This paper choose the catastrophe bonds as the object of study, and choose theearthquake risk as the background.On the basis of studying foreign catastrophe riskbond, the writer designs China’s earthquake catastrophe bond,the main researchcontents are as follows:Firstly,the paper discussed the related theory of catastrophe risk management,introduces the typical products---catastrophe bond, and then compares the advantagesand disadvantages. Then the paper focuses on the first successful hurricane USAA bondin order to provide the reference for the design of the earthquake catastrophe bond later.Secondly, a detailed analysis of the earthquake disaster risk in China is made, as wellas the existing way of earthquake disaster compensation.Then based on the mode ofcatastrophe bond,the catastrophe bond of China is designed, including the operationmode, the design of trigger mechanism, design of compensation rate, SPV settings andthe design of restrictive etc..Finally, the paper selected data from1966to2013which direct economic lossesabove100million as the sample data, and then fit them to the earthquake losses andthe number of times.Then the paper establishes the loss distribution function andfrequency distribution function to simulate different trigger by using Monte Carlomethod.According to the catastrophe bond pricing principle,we calculate the yields andprices of different types of earthquake catastrophe bonds by CAPM model. This paperhas two major innovations. one is that the design of the earthquake catastrophe bondstructure is based on the current situation of our country. The other one is the using ofMonte Carlo method in pricing, We get the catastrophe bond yields and prices so as toprovide some help for the issuance and operation of earthquake catastrophe bond andplay a positive role in promoting development of our country.
Keywords/Search Tags:catastrophe risk, reinsurance, risk securitization, catastrophe bond, Monte Carlo simulation
PDF Full Text Request
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