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Estimating Flood Catastrophe Bond Prices Using Approximation Method Of The Loss Aggregate Distribution: Evidence From Indonesia

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dc.contributor.authorRiza Andrian Ibrahimen_US
dc.contributor.authorSukonoen_US
dc.contributor.authorHerlina Napitupuluen_US
dc.contributor.authorRose Irnawaty Ibrahimen_US
dc.contributor.authorMuhamad Deni Johansyahen_US
dc.contributor.authorJumadil Saputraen_US
dc.date.accessioned2024-05-29T02:29:43Z
dc.date.available2024-05-29T02:29:43Z
dc.date.issued2023
dc.date.submitted2024-1-19
dc.descriptionVolume 12 Issue 2 pp. 179-190en_US
dc.description.abstractLosses experienced by the Indonesian government due to floods are predicted. It is because of the significance of population growth, closure of water catchment areas, and climate change in many regions in Indonesia. The government has tried to reduce the risk but faces insufficient funds. Therefore, new innovative funding sources are essential to overcome these limitations. One way to obtain it is through issuing Flood Catastrophe Bonds (FCB). Unfortunately, Indonesia has had no FCB price estimate until now. On the basis of this problem, this study aims to estimate the FCB price in Indonesia. The primary method used is the approximation method of the aggregate loss distribution. This method can compute the aggregate flood loss cumulative distribution function value faster. The FCB fair price estimation results are cheap because the risk of the instrument is significant. This significant risk is also proportional to the large return. Finally, further analysis shows that in Indonesia, the attachment point of the FCB has a relationship that is in line with the price, while the term of FCB does not. This research is expected to assist the Indonesian government in determining the fair price of FCB in Indonesia. This research can assist the investors in choosing FCB based on expected return, attachment point, and the term they want.en_US
dc.identifier.citationIbrahim, R., Sukono, S., Napitupulu, H., Ibrahim, R., Johansyah, M & Saputra, J. (2023). Estimating flood catastrophe bond prices using approximation method of the loss aggregate distribution: Evidence from Indonesia.Decision Science Letters , 12(2), 179-190.en_US
dc.identifier.doi10.5267/dsl.2023.3.001
dc.identifier.epage190
dc.identifier.issn1929-5804
dc.identifier.issue2
dc.identifier.spage179
dc.identifier.urihttps://growingscience.com/beta/dsl/5978-estimating-flood-catastrophe-bond-prices-using-approximation-method-of-the-loss-aggregate-distribution-evidence-from-indonesia.html
dc.identifier.urihttps://www.scopus.com/record/display.uri?eid=2-s2.0-85152302388&origin=resultslist&sort=plf-f&src=s&sid=f42f638f846ac43b45360b0fc91bffc4&sot=b&sdt=b&s=TITLE-ABS-KEY%28Estimating+flood+catastrophe+bond+prices+using+approximation+method+of+the+loss+aggregate+distribution%3A+Evidence+from+Indonesia%29&sl=80&sessionSearchId=f42f638f846ac43b45360b0fc91bffc4&relpos=0
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/10830
dc.identifier.volume12
dc.language.isoen_USen_US
dc.publisherGrowing Scienceen_US
dc.relation.ispartofDecision Science Lettersen_US
dc.subjectCatastrophe bond, Flood, estimation, Pricing, Indonesia, Approximation method, Aggregate loss distributionen_US
dc.titleEstimating Flood Catastrophe Bond Prices Using Approximation Method Of The Loss Aggregate Distribution: Evidence From Indonesiaen_US
dc.typeArticleen_US
dspace.entity.typePublication

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