题目:Modeling and Pricing of CAT Bonds: the Extreme Value Approach
嘉宾:杨璠 博士(加拿大滑铁卢大学统计与精算科学系)
时间:2015年7月24日16:20-17:30
地点:管理科研楼10楼1018会议室
单位:管理学院统计与金融系、安徽省金融信息重点实验室
摘要:
Catastrophe (CAT) bonds are important financial instruments to transfer risk from reinsurance markets to capital markets. Since CAT bonds cover last layer losses, extreme value theory can be employed to model such high losses. In the first part, we derive asymptotics for several premium principles to show how the choices of layer affect the fair premium when the loss variable follows a distribution function from a max-domain of attraction. In the second part, we examine the effect of financial crises on CAT bond premiums and propose a new premium principle to incorporate the factor of financial loss. Through a California earthquake bond, we show the accuracy of extreme value modeling. Peaks over threshold method is used to analyze earthquake data.