Publication:
Modeling Multiple-event Catastrophe Bond Prices Involving the Trigger Event Correlation, Interest, and Inflation Rates

Simple item page
dc.contributor.authorSukonoen_US
dc.contributor.authorRiza Andrian Ibrahimen_US
dc.contributor.authorMoch Panji Agung Saputraen_US
dc.contributor.authorYuyun Hidayaten_US
dc.contributor.authorHafizan Juahiren_US
dc.contributor.authorIgif Gimin Prihantoen_US
dc.contributor.authorNurfadhlina Binti Abdul Halimen_US
dc.date.accessioned2024-05-29T02:26:43Z
dc.date.available2024-05-29T02:26:43Z
dc.date.issued2022
dc.date.submitted2023-1-27
dc.descriptionVolume 10 Issue 24en_US
dc.description.abstractThe issuance of multiple-event catastrophe bonds (MECBs) has the potential to increase in the next few years. This is due to the increasing trend in the frequency of global catastrophes, which makes single-event catastrophe bonds (SECBs) less relevant. However, there are obstacles to issuing MECBs since the pricing framework is still little studied. Therefore, this study aims to develop such a new pricing framework. The model uniquely involves three new variables: the trigger event correlation, interest, and inflation rates. The trigger event correlation rate was accommodated by the involvement of the copula while the interest and inflation rates were simultaneously considered using an integrated autoregressive vector stochastic model. After the model was obtained, the model was simulated on storm catastrophe data in the United States. Finally, the effect of the three variables on MECB prices was also analyzed. The analysis results show that the three variables make MECB prices more fairly than other models. This research is expected to guide special purpose vehicles to set fairer MECB prices and can also be used as a reference for investors in choosing MECBs based on the rates of trigger event correlation and the real interest they can expect.en_US
dc.identifier.citationSukono; Ibrahim, R.A.; Saputra, M.P.A.; Hidayat, Y.; Juahir, H.; Prihanto, I.G.; Halim, N.B.A. Modeling Multiple-Event Catastrophe Bond Prices Involving the Trigger Event Correlation, Interest, and Inflation Rates. Mathematics 2022, 10, 4685. https:// doi.org/10.3390/math10244685en_US
dc.identifier.doi10.3390/math10244685
dc.identifier.doihttps://www.scopus.com/record/display.uri?eid=2-s2.0-85144700347&origin=resultslist&sort=plf-f&src=s&sid=3f1868111a303d5a05d758a34d75371e&sot=b&sdt=b&s=TITLE-ABS-KEY%28Modeling+Multiple-event+Catastrophe+Bond+Prices+Involving+The+Trigger+Event+Correlation%2C+Interest%2C+And+Inflation+Rates%29&sl=151&sessionSearchId=3f1868111a303d5a05d758a34d75371e
dc.identifier.epage18
dc.identifier.issn2227-7390
dc.identifier.issue4685
dc.identifier.spage1
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/10631
dc.identifier.volume10
dc.language.isoen_USen_US
dc.publisherMDPIen_US
dc.relation.ispartofMathematicsen_US
dc.subjectmultiple-event catastrophe bond; trigger event correlation rate; interest rate; inflation rate; copula; integrated autoregressive vectoren_US
dc.titleModeling Multiple-event Catastrophe Bond Prices Involving the Trigger Event Correlation, Interest, and Inflation Ratesen_US
dc.typeArticleen_US
dspace.entity.typePublication

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Modeling Multiple-Event Catastrophe Bond Prices Involving the Trigger Event Correlation, Interest, and Inflation Rates.pdf
Size:
2.15 MB
Format:
Adobe Portable Document Format
Download

Collections

Scopus