JULY 11, 2022 (NewsRx) — By a News Reporter – Staff News Editor of the Economics Daily Report — Investigators discuss new findings in agriculture. According to reports from DalianPeople Republic of Chinaby the editors of NewsRx, the research said, “This paper presents a pricing model for hybrid-triggered catastrophe bonds (CAT bonds).”
The editors got a citation from the research of Dongbei University of Finance and Economics“We take seismic CAT links as an example for model building and numerical analysis. According to the characteristics of earthquake disasters, we choose direct economic loss and magnitude as trigger indicators. The marginal distributions of the two trigger indicators are represented using extreme value theory, and the joint distribution is established using a copula function. In addition, we derive a multi-year hybrid trigger CAT bond pricing formula under stochastic interest rates. Numerical experiments show that bond price is negatively correlated with maturity, market interest rate, and trigger indicator dependence, and positively correlated with trigger level and coupon rate.
According to the editors, the research concluded: “This study can be used as a benchmark for formulating reasonable CAT bond pricing strategies.”
For more information on this research, see: Pricing hybrid-triggered catastrophe bonds based on copula-EVT model. Quantitative finance and economics, 2022.6(2):223-243. (Quantitative Finance and Economics – http://www.aimspress.com/journal/QFE). The publisher of Quantitative Finance and Economics is AIMS Press.
A free version of this review article is available at https://doi.org/10.3934/QFE.2022010.
Our journalists inform that additional information can be obtained by contacting Longfei Wei, School of Finance, Dongbei University of Finance and Economics, Dalian 116025, Popular Republic of China. Other authors of this research include Lu Liu, Jialong Hou.
(Our reports provide factual information on research and discoveries from around the world.)