Pricing Catastrophe Bonds under Safety Constraints

Shuo Liu () and Liyan Han ()
Additional contact information
Shuo Liu: Beihang University
Liyan Han: Beihang University

A chapter in Managing Safety of Heterogeneous Systems, 2012, pp 367-378 from Springer

Abstract: Abstract This chapter proposes an approach for catastrophe bonds (cat-bonds) pricing using stochastic balances of cash flows. Monte Carlo simulation model permits to overcome cat-bonds trading data shortage and sheds the light on the relations between cat-bond coupon rates, their issue volumes, and supply curves. This model controls the moral hazard risk and other stochastic imbalances of the cash flows through probabilistic safety constraints. The model is applied to the analysis of typhoon risk in China.

Keywords: Moral Hazard; Catastrophe Risk; Bond Price; Asian Option; Catastrophe Loss (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-22884-1_18

Ordering information: This item can be ordered from
http://www.springer.com/9783642228841

DOI: 10.1007/978-3-642-22884-1_18

Access Statistics for this chapter

More chapters in Lecture Notes in Economics and Mathematical Systems from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().