Catastrophe Bond and Risk Modeling: A Review and Calibration Using Chinese Earthquake Loss Data

被引：6

作者：

Wu, Desheng ^{[1
]}

Zhou, Yingying ^{[2
]}

机构：

[1] Univ Toronto, RiskLab, Toronto, ON M5S 3G8, Canada

[2] Dalian Univ Technol, Sch Management Sci Adv Sci & Technol, Dalian, Liaoning, Peoples R China

来源：

HUMAN AND ECOLOGICAL RISK ASSESSMENT | 2010年 / 16卷 / 03期

关键词：

catastrophe bonds; earthquake; loss data; jump diffusion; Markov chain Monte Carlo; VALUATION; REINSURANCE; MCMC;

D O I：

10.1080/10807031003788592

中图分类号：

X176 [生物多样性保护];

学科分类号：

090705 ;

摘要：

Earthquake risks are attracting increased attention as a result of recent catastrophic events such as the Wenchuan earthquake in China. This article aims to select, tailor, and develop loss modeling methods for catastrophic insurance. We review the state-of-the-art approaches in modeling catastrophe losses for catastrophe bonds' modeling and pricing. The methods are applied to the 1966-2008 losses resulted from the earthquakes in China. Various error measures are proposed for validating catastrophe modeling. Results suggest that the double exponential jump-diffusion model fits the data well.

引用

页码：510 / 523

页数：14

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