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来源类型	Conference or Workshop Item (UNSPECIFIED)
规范类型	其他
	Catastrophe bond pricing based on behavior model.
	Liu S; Han L; Ermoliev Y; Ermolieva T
发表日期	2009
出处	Proceedings of the IASTED International Conference on Modelling, Simulation, and Identification
出版年	2009
语种	英语
摘要	Although the catastrophe bond is used more and more widely, the pricing is not so satisfactory because of its catastrophe-depending characteristics. In this paper, we propose a new behavior model to get the so-called fair price of catastrophe bond considering both the issuer's and government's benefit. This proposed approach supports calculation of the coupon rate and volume scale for a given class of catastrophe bond, and one of the simulation results of the model is shown in this paper.
主题	Greenhouse Gas Initiative (GGI) ; Integrated Modeling Environment (IME) ; Institute Scholars (INS) ; Modeling Land-Use and Land-Cover Changes (LUC)
关键词	Catastrophe Bond Pricing Behavior Model Monte-Carlo Simulation
URL	http://pure.iiasa.ac.at/id/eprint/9050/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/132307
推荐引用方式 GB/T 7714	Liu S,Han L,Ermoliev Y,et al. Catastrophe bond pricing based on behavior model.. 2009.