000011557 001__ 11557
000011557 005__ 20141205155922.0
000011557 04107 $$aeng
000011557 046__ $$k2008-10-12
000011557 100__ $$aSato, Ichiro
000011557 24500 $$aDesign Method of Trigger Event Definition of CAT Bond Focussing on Reduction in Basis Risk

000011557 24630 $$n14.$$pProceedings of the 14th World Conference on Earthquake Engineering
000011557 260__ $$b
000011557 506__ $$arestricted
000011557 520__ $$2eng$$aIt is pointed out that both risk control and risk financing are needed to reduce the seismic risk. Since an earthquake insurance, which is the most popular measure, is limited from the viewpoint of its market size, focused are the other measures that are called alternative risk transfers (hereinafter called ARTs). In many cases ARTs employ full parametric trigger to evaluate compensation, so that basis risk occurs as the difference between the real loss and the compensation, causing the higher risk cost. In this paper, the schematic design method to determine the parametric trigger that was characterized by several grids and forfeiture functions are proposed. A model portfolio consisting of 10 buildings was applied in analyzing the performance of the method. Through the application, the following findings were obtained; the existing method has a room for improvement, the proposed method can reduce the basis risk corresponding to the surplus compensation and the risk cost can be reduced without increasing the risk hedger’s risk.

000011557 540__ $$aText je chráněný podle autorského zákona č. 121/2000 Sb.
000011557 653__ $$aSeismic risk, Catastrophe bond, Trigger event definition, Alternative risk transfer, Basis risk, Risk management

000011557 7112_ $$a14th World Conference on Earthquake Engineering$$cBejing (CN)$$d2008-10-12 / 2008-10-17$$gWCEE15
000011557 720__ $$aSato, Ichiro$$iYashiro, Harumi$$iFukushima, Sei'ichiro
000011557 8560_ $$ffischerc@itam.cas.cz
000011557 8564_ $$s496348$$uhttps://invenio.itam.cas.cz/record/11557/files/S01-02-023.pdf$$yOriginal version of the author's contribution as presented on CD, Paper ID: S01-02-023.
000011557 962__ $$r9324
000011557 980__ $$aPAPER