CAT Bond Pricing in Uncertain Environment
Publish place: Iranian Journal of Management Studies، Vol: 15، Issue: 2
Publish Year: 1401
نوع سند: مقاله ژورنالی
زبان: English
View: 161
This Paper With 18 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_JIJMS-15-2_009
تاریخ نمایه سازی: 23 شهریور 1401
Abstract:
Catastrophe bonds are among the essential instruments in providing a financial hedge for insurance companies and their policyholders. Catastrophic events are rare, and the shortage of data turns using probability theory indefensible. On the other hand, uncertainty theory is a reliable alternative to deal with these kinds of indeterminacies. We model the problem of pricing catastrophe bonds as an uncertain optimization problem where the maximization of the cedent insurance company’s profit is constrained to the uncertain measure of ruin defined for the investors. Consequently, one could provide a tradeoff between being profitable for the ceding company and having reasonable protection for the investors. A solution to the optimization problem will be considered as the spread over the LIBOR, leading to a complete determination of the bond price. The results suggest the practicality of the model, especially the application of uncertainty theory in pricing catastrophe bonds. Finally, the uncertain ruin index is calculated for a real-world problem, and the results are compared with those obtained by probability theory.
Keywords:
Authors
وریا وکیلی
Department of Applied Mathematics, Faculty of Basic Sciences, Azarbaijan Shahid Madani University, Tabriz, Iran
علیرضا غفاری حدیقه
Department of Applied Mathematics, Faculty of Basic Sciences, Azarbaijan Shahid Madani University, Tabriz, Iran
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :