Study On The Pricing Of Catastrophe Bond

For half a century,the economic losses of natural disasters in China have generally shown a slowly rising trend.With the passage of time and the development of social and economic levels,this rising trend has become increasingly evident.From the perspective of socio-economic development and wealth accumulation,the increase in disaster losses is an inevitable result.In that case,is it possible to take appropriate measures to diversify risk,compensate for loss,and weaken the threat and impact of disasters on personal life and property and social wealth?The existing disaster risk prevention system in China largely has followed the “planned economy” approach,which is mainly manifested by the government-led construction of defense facilities and the arrangement of disaster relief cost budget,and the active disaster relief to rescue the victims ' life and property.The dominant position of government has been one of the main stakeholders of disaster loss,which ran through the whole process of disaster prevention and reduction.In comparison,the role of the market in the disaster risk management process was very minimal,and its disaster relief function has not been fully realized.From the successful practice of disaster insurance in North America,Western Europe,Japan,Australia,New Zealand and other developed countries or regions,the market could play an important role or even dominated the catastrophe risk defense system.If disaster insurance mechanisms are implemented successfully,the individual's losses from disasters are spread over many bodies,and the crowd's wealth is used for personal disaster relief.On the other hand,the disaster losses which were directly borne by the disaster victims or the government are transferred to the insurance market and the capital market,which were shared by many behavioral subjects in the insurance market and capital market.This strengthens the whole society's ability to respond to disasters,greatly weakening the impact of disasters on the social economy.As a result,this strengthens the whole society's ability to respond to disasters,greatly weakening the impact of disasters on the social economy.However,the objective factors such as imperfect insurance market,insufficient underwriting ability and limited payment ability determine the difficulties in the implementation of catastrophe insurance and catastrophe bonds in China.Therefore,how to widen the underwriting ability and the ability of the disaster insurance and the disaster risk of the dispersed transfer pooling are the key points and difficulties that need to be solved urgently in the implementation of the insurance and relief system,and also the keys to the successful implementation of the insurance.Based on the present situation and disadvantages of Chinese catastrophe risk defense compensation mechanism,this paper,firstly,analyzed the present situation of China's disaster defense system.The result shown that the efficiency of China's financial aid was ineffective,and the efficiency of disaster insurance was relatively high.Secondly,the present situation of catastrophe insurance market in China was analyzed,and the conclusion that catastrophe insurance system vacancy and underwriting ability was insufficient was obtained.Thirdly,using the method of foreign catastrophe risk spread and transfer,this paper intended to carry out disaster risk management from the perspective of catastrophe insurance,and analyzed the problems of disaster insurance underwriting ability and widening the ability of compensation,and initially designed the Dispersion and transfer mechanism of disaster risk of "risk free-risk retentionreinsurance-securitization--government aid".Finally,the definition,pricing of catastrophe bonds,which are the most common means in the stage of securitization,were discussed and analyzed.In this paper,we focused on the analysis and discussion on the pricing of catastrophe bonds,using the Bayes mixture distribution model to improve the traditional catastrophe risk loss distribution fitting,applying Monte Carlo method to simulate the disaster aggregation loss,and combining the BDT interest rate term structure to analyze the catastrophe bond pricing.In addition,the sensitivity analysis of the parameter setting in the pricing model provided a fundamental basis for the analysis of the importance of the pricing impact factor and the improvement of the pricing model.