文章基本信息

标题：Pricing Zero-Coupon Catastrophe Bonds Using EVT with Doubly Stochastic Poisson Arrivals
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作者：Zonggang Ma ; Chaoqun Ma ; Shisong Xiao 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2017
卷号：2017
DOI：10.1155/2017/3279647
出版社：Hindawi Publishing Corporation
摘要：The frequency and severity of climate abnormal change displays an irregular upward cycle as global warming intensifies. Therefore, this paper employs a doubly stochastic Poisson process with Black Derman Toy (BDT) intensity to describe the catastrophic characteristics. By using the Property Claim Services (PCS) loss index data from 2001 to 2010 provided by the US Insurance Services Office (ISO), the empirical result reveals that the BDT arrival rate process is superior to the nonhomogeneous Poisson and lognormal intensity process due to its smaller RMSE, MAE, MRPE, and U and larger E and d. Secondly, to depict extreme features of catastrophic risks, this paper adopts the Peak Over Threshold (POT) in extreme value theory (EVT) to characterize the tail characteristics of catastrophic loss distribution. And then the loss distribution is analyzed and assessed using a quantile-quantile (QQ) plot to visually check whether the PCS index observations meet the generalized Pareto distribution (GPD) assumption. Furthermore, this paper derives a pricing formula for zero-coupon catastrophe bonds with a stochastic interest rate environment and aggregate losses generated by a compound doubly stochastic Poisson process under the forward measure. Finally, simulation results verify pricing model predictions and show how catastrophic risks and interest rate risk affect the prices of zero-coupon catastrophe bonds.