Catastrophe Risk Bonds
Catastrophe Risk Bonds
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DOI：
10.1080/10920277.2000.10595938
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发表时间：
2000-10
影响因子：
1.4
通讯作者：
Samuel H. Cox;H. Pedersen
中科院分区：
文献类型：
--
作者：
Samuel H. Cox;H. Pedersen
摘要本文研究巨灾风险债券的定价问题。传统证券无法对冲巨灾风险。因此，巨灾风险债券的定价需要一个不完全的市场环境，这在定价方法上造成了特殊的困难。作者简要讨论了均衡定价理论及其与标准无仲裁估值框架的关系。运用均衡定价理论，建立了基于利率期限结构模型和巨灾风险概率结构模型的巨灾风险定价方法。这种定价方法可用于评估巨灾风险债券相对于传统可违约证券的违约价差。
Abstract This article examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore, the pricing of catastrophe risk bonds requires an incomplete markets setting, and this creates special difficulties in the pricing methodology. The authors briefly discuss the theory of equilibrium pricing and its relationship to the standard arbitrage-free valuation framework. Equilibrium pricing theory is used to develop a pricing method based on a model of the term structure of interest rates and a probability structure for the catastrophe risk. This pricing methodology can be used to assess the default spread on catastrophe risk bonds relative to traditional defaultable securities.