Publication:
Decomposition of Disaster Region using Earthquake Parameter and STDM Distance: Catastrophe Bond Pricing Single Period

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dc.contributor.authorWulan Anggraeni
dc.contributor.authorSudradjat Supian
dc.contributor.authorSukono
dc.contributor.authorNurfadhlina Abdul Halim
dc.date.accessioned2024-10-09T17:04:30Z
dc.date.available2024-10-09T17:04:30Z
dc.date.issued2024
dc.date.submitted2024-10-9
dc.descriptionJournal of Advanced Research in Applied Sciences and Engineering Technology Volume :43, Issue 1(page: 171-200)
dc.description.abstractInvestor interest in single-regional earthquake catastrophe bonds has the potential to decline in the future. To pique investor interest, disaster bond prices can be determined by decomposed disaster zones using seismic parameters and Space Time Depth Magnitude (STDM) distance. Therefore, this study aims to develop a Decomposition of Disaster Region Using Earthquake Parameters and STDM Distance on the Earthquake Catastrophe Bond Pricing (DECBP) model for a single period. The basic idea of developing the model is to observe earthquake characteristics in an area by clustering the area based on the Earthquake Disaster Risk Index (EDRI), earthquake parameters (earthquake magnitude and depth), and STDM distance. The research and development (R&D) methodology used in this work is pursued through the creation of a mathematical model for calculating the price of earthquake catastrophe bonds over a single period. The development stages carried out are regional decomposition modelling, payment functions modelling, distribution of extreme earthquake magnitude values modelling, prediction of interest rates and coupons, numerical simulations, and analysis of the effect of interest rates, coupons, and the amount of regional decomposition on earthquake bond prices. Interest rates, coupons, and the number of regional decompositions that affect bond prices for earthquake events are the results of the analysis of the model that's been developed. The resulting model in this study is expected to assist the Super Purpose Vehicle (SPV) in determining the price of earthquake bonds and serve as a reference for future researchers developing models for the price of earthquake catastrophe bonds.
dc.identifier.citationWulan Anggraeni, Sudradjat Supian, Sukono & Nurfadhlina Abdul Halim. (2024). Decomposition of Disaster Region using Earthquake Parameter and STDM Distance: Catastrophe Bond Pricing Single Period. Journal of Advanced Research in Applied Sciences and Engineering Technology, 43(1), 171–200. https://doi.org/10.37934/araset.43.1.171200
dc.identifier.doi10.37934/araset.43.1.171200
dc.identifier.epage200
dc.identifier.issn2462-1943
dc.identifier.issue1
dc.identifier.spage171
dc.identifier.urihttps://semarakilmu.com.my/journals/index.php/applied_sciences_eng_tech/article/view/4181
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/23428
dc.identifier.volume43
dc.language.isoen_US
dc.publisherSemarak Ilmu Publishing
dc.relation.ispartofJournal of Advanced Research in Applied Sciences and Engineering Technology
dc.relation.issn2462-1943
dc.relation.journalJournal of Advanced Research in Applied Sciences and Engineering Technology
dc.subjectRegional decomposition
dc.subjectEarthquake disaster
dc.subjectDisaster bond pricing
dc.subjectEDRI
dc.subjectEarthquake parameters
dc.subjectSTDM distance
dc.titleDecomposition of Disaster Region using Earthquake Parameter and STDM Distance: Catastrophe Bond Pricing Single Period
dc.typetext::journal::journal article::research article
dspace.entity.typePublication
oaire.citation.endPage200
oaire.citation.issue1
oaire.citation.startPage171
oaire.citation.volume43
oairecerif.author.affiliation#PLACEHOLDER_PARENT_METADATA_VALUE#
oairecerif.author.affiliation#PLACEHOLDER_PARENT_METADATA_VALUE#
oairecerif.author.affiliation#PLACEHOLDER_PARENT_METADATA_VALUE#
oairecerif.author.affiliationUniversiti Sains Islam Malaysia

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