The Research Of The Storm Surge Catastrophe Bonds Pricing

According to the statistics of the world catastrophe,the times,the losses of the catastrophe and the losses of the insurance company are increasing since 1980s.For China, there are the most catastrophe,and the times are the most because of the catastrophe.Domestic insurance and reinsurance industry has already can’t meet the demand of catastrophe risk dispersion.For meeting the needs,the catastrophe bonds is the new tool to spread the risk of the catastrophe.Abroad in recent years has begun to implement the issue of catastrophe bonds, and there are a set of corresponding management system. So far,the tool of spreading the risk of the catastrophe is the catastrophe bonds.It is the most successful and also the most important,as the financial derivatives.The research of the catastrophe bonds is not many,so many views about the catastrophe bonds are learn from the other country like American or Japan.Now,there are many insurance company in China,but they have no ability to insure the catastrophe risk,most of them.because of those,the catastrophe bonds occurs is necessary to China,which is the country has most catastrophe.The paper takes the attention on the storm surge catastrophe bonds.At the first,it designs a storm surge catastrophe bonds which learns from the foreign,then according the theory of the catastrophe bonds to carry on the corresponding empirical study.For storm surge catastrophe bond pricing, In this paper we mainly has carried on the three aspects of the research:pricing model, the solving method and model parameter estimation and so on. Specific content is under the condition of the risk neutral measures, respectively using Vasicek and CIR interest rate model, combined with the cumulative damage process obey the compound nonhomogeneous poisson process is deduced under the condition of storm surge of catastrophe bond pricing model. Second in constructing the nonlinear function claim arrived in strength, reflects the periodicity of catastrophe risk time arrival rate, further improve the existing type determine the intensity of function of the arrival rate of storm surge disaster risk. For there is no closed solution of pricing model, this paper proposes a hybrid approximation algorithm, through numerical analysis it is concluded that this algorithm shows good computation efficiency and accuracy. It uses the storm surge disaster losses related data of catastrophe bond pricing model,and parameters in the storm surge catastrophe bonds pricing are estimated, and it takes the numerical analysis for the pricing model from the parameter estimation. Checking the usability and feasibility of the model.