Study On The Pricing Of Typhoon Catastrophe Bonds In Guangdong Province Based On The Compound Trigger Mechanism

China is a country with frequent natural disasters,which brings huge losses every year.At present,the catastrophe risk management system in China is relatively backward.Although the pilot project of catastrophe insurance has been carried out in some cities,the main compensation is still based on financial assistance,which produced a huge pressure to the government.Because the catastrophe events are not dispersive,the traditional insurance market cannot bear the pressure of catastrophe compensation.By transferring catastrophe risk to capital market,catastrophe bond can disperse risk and enrich catastrophe risk management system in China.One of the keys to implement catastrophe bond is to solve the pricing problem,including the determination of operation structure,trigger index,pricing model and other related problems.Aiming at the typhoon disaster in China,this paper discussed the research status at home and abroad to introduce the related theory of catastrophe bond pricing.A catastrophe bond structure triggered by loss and central wind speed was established and an empirical on the bond study was also carried out.The historical data of Guangdong Province's typhoon catastrophe from 1989 to 2017 were used.Besides,this paper put forward the joint distribution function of the factors with the Copula model,and based on the equilibrium pricing theory and CIR interest rate model,the price of typhoon catastrophe bond was obtained.In this new bond model,the basis risk and moral risk in the traditional single trigger model were well controlled.Furthermore,the parameter sensitivity of the pricing model was analyzed.The results show that the catastrophe bond price under the compound trigger mechanism is more stable than that under the single trigger mechanism,and is more sensitive to the trigger level and term change.The lower the level of composite trigger,the higher the probability of catastrophe,and the lower the price of catastrophe bond.On the other hand,with the increase of bond maturity,the decline of bond price is also increasing.The catastrophe bond pricing model of "loss-speed" compound trigger mechanism can effectively reduce moral hazard and make catastrophe compensation more quickly.Combined with the empirical results,this paper finally provides some theoretical and empirical reference and suggestions for the establishment of catastrophe bond in China.