Modeling Multiple-Event Catastrophe Bond Prices Involving the Trigger Event Correlation, Interest, and Inflation Rates

نویسندگان

چکیده

The issuance of multiple-event catastrophe bonds (MECBs) has the potential to increase in next few years. This is due increasing trend frequency global catastrophes, which makes single-event (SECBs) less relevant. However, there are obstacles issuing MECBs since pricing framework still little studied. Therefore, this study aims develop such a new framework. model uniquely involves three variables: trigger event correlation, interest, and inflation rates. correlation rate was accommodated by involvement copula while interest rates were simultaneously considered using an integrated autoregressive vector stochastic model. After obtained, simulated on storm data United States. Finally, effect variables MECB prices also analyzed. analysis results show that make more fairly than other models. research expected guide special purpose vehicles set fairer can be used as reference for investors choosing based real they expect.

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ژورنال

عنوان ژورنال: Mathematics

سال: 2022

ISSN: ['2227-7390']

DOI: https://doi.org/10.3390/math10244685