000011847 001__ 11847
000011847 005__ 20141205155953.0
000011847 04107 $$aeng
000011847 046__ $$k2008-10-12
000011847 100__ $$aTao, Zhengru
000011847 24500 $$aPricing Cat Bonds for Southeastern Cities

000011847 24630 $$n14.$$pProceedings of the 14th World Conference on Earthquake Engineering
000011847 260__ $$b
000011847 506__ $$arestricted
000011847 520__ $$2eng$$aA pricing model for CAT bonds, based on engineering seismic risk assessment, is introduced. The occurring probability of a defined earthquake catastrophe, estimated by seismic risk assessment method, is an input of the pricing model. Yields and proportion of reinvestment, principal protected ratio, issuance fee, circulation, maturity period, claim payments of insurers and reinsurers, are designed as factors. The annual coupon rates of the CAT bonds are studied under the equilibrium between the incomes of investors and issuers, in which the earning from earthquake insurance premium and the payout for reinsurance premium in complete and incomplete markets are described by Geometric Brownian Motion and Jump-Diffusion processes respectively. Then, four southeastern cities in Fujian province are adopted as examples to illustrate the feasibility of the model.

000011847 540__ $$aText je chráněný podle autorského zákona č. 121/2000 Sb.
000011847 653__ $$aCAT bonds, engineering seismic risk assessment, pricing model

000011847 7112_ $$a14th World Conference on Earthquake Engineering$$cBejing (CN)$$d2008-10-12 / 2008-10-17$$gWCEE15
000011847 720__ $$aTao, Zhengru$$iTao, Xiaxin
000011847 8560_ $$ffischerc@itam.cas.cz
000011847 8564_ $$s231231$$uhttps://invenio.itam.cas.cz/record/11847/files/S01-02-028.pdf$$yOriginal version of the author's contribution as presented on CD, Paper ID: S01-02-028.
000011847 962__ $$r9324
000011847 980__ $$aPAPER