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Earthquake Catastrophe Bond Pricing Using Extreme Value Theory: A Mini-Review Approach

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dc.contributor.authorWulan Anggraenien_US
dc.contributor.authorSudradjat Supianen_US
dc.contributor.authorSukonoen_US
dc.contributor.authorNurfadhlina Binti Abdul Halimen_US
dc.date.accessioned2024-05-29T02:26:54Z
dc.date.available2024-05-29T02:26:54Z
dc.date.issued2022
dc.date.submitted2022-11-29
dc.descriptionVolume 10 Issue 22en_US
dc.description.abstractEarthquake catastrophe bond pricing models (ECBPMs) employ extreme value theory (EVT) to predict severe losses, although studies on EVT’s use in ECBPMs are still rare. Therefore, this study aimed to use a mini-review approach (MRA) to examine the use of EVT and identify the gaps and weaknesses in the methods or models developed. The MRA stages include planning, search and selection, analysis, and interpretation of the results. The selection results showed five articles regarding the application of EVT in ECBPMs. Furthermore, the analysis found the following: First, the generalized extreme value (GEV) could eliminate extreme data in a period. Second, the trigger model using two parameters is better than one, but the study did not discuss the joint distribution of the two parameters. Third, the autoregressive integrated moving average (ARIMA) allows negative values. Fourth, Cox–Ingersoll–Ross (CIR) in-coupon modeling is less effective in depicting the real picture. This is because it has a constant volatility assumption and cannot describe jumps due to monetary policy. Based on these limitations, it is hoped that future studies can develop an ECBPM that reduces the moral hazard.en_US
dc.identifier.citationAnggraeni W, Supian S, Sukono, Halim NBA. Earthquake Catastrophe Bond Pricing Using Extreme Value Theory: A Mini-Review Approach. Mathematics. 2022; 10(22):4196. https://doi.org/10.3390/math10224196en_US
dc.identifier.doi10.3390/math10224196
dc.identifier.epage23
dc.identifier.issn2227-7390
dc.identifier.issue22
dc.identifier.spage1
dc.identifier.urihttps://www.mdpi.com/2227-7390/10/22/4196
dc.identifier.urihttps://www.scopus.com/record/display.uri?eid=2-s2.0-85142493714&origin=resultslist&sort=plf-f&src=s&sid=fedc15ccd0c520324bb318f956de939e&sot=b&sdt=b&s=TITLE-ABS-KEY%28Earthquake+Catastrophe+Bond+Pricing+Using+Extreme+Value%29&sl=95&sessionSearchId=fedc15ccd0c520324bb318f956de939e
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/10649
dc.identifier.volume10
dc.language.isoen_USen_US
dc.publisherMDPIen_US
dc.relation.ispartofMathematicsen_US
dc.subjectearthquake disaster; bond pricing model; extreme value theoryen_US
dc.titleEarthquake Catastrophe Bond Pricing Using Extreme Value Theory: A Mini-Review Approachen_US
dc.typeArticleen_US
dspace.entity.typePublication

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