This paper developed a model for pricing catastrophe bond whose trigger is loss index. In the model Esscher transform which is a facility usually used in actuarial science now provides an easy way to calculate Radon-N...This paper developed a model for pricing catastrophe bond whose trigger is loss index. In the model Esscher transform which is a facility usually used in actuarial science now provides an easy way to calculate Radon-Nikodym derivative so that the whole pricing process becomes easier to understand. At the end of this paper we use this model to price a China typhoon catastrophe bond which is also designed by us.展开更多
文摘This paper developed a model for pricing catastrophe bond whose trigger is loss index. In the model Esscher transform which is a facility usually used in actuarial science now provides an easy way to calculate Radon-Nikodym derivative so that the whole pricing process becomes easier to understand. At the end of this paper we use this model to price a China typhoon catastrophe bond which is also designed by us.
