Pricing Catastrophe Options with Credit Risk in a Regime-Switching Model

In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.

Assessment of Flood Catastrophe Risk for Grain Production at the Provincial Scale in China Based on the BMM Method

Flood catastrophe risk assessment is imperative for the steady development of agriculture under the context of global climate change,and meanwhile,it is an urgent scientific issue need to be solved in agricultural risk assessment discipline.This paper developed the methodology of flood catastrophe risk assessment,which can be shown as the standard process of crop loss calculation,Monte Carlo simulation,the generalized extreme value distribution（GEV） fitting,and risk evaluation.Data on crop loss were collected based on hectares covered by natural disasters,hectares affected by natural disasters,and hectares destroyed by natural disasters using the standard equation.Monte Carlo simulation based on appropriate distribution was used to expand sample size to overcome the insufficiency of crop loss data.Block maxima model（BMM） approach based on the extreme value theory was for modeling the generalized extreme value distribution（GEV） of flood catastrophe loss,and then flood catastrophe risk at the provincial scale in China was calculated.The Type III Extreme distribution（Weibull） has a weighted advantage of modeling flood catastrophe risk for grain production.The impact of flood catastrophe to grain production in China was significantly serious,and high or very high risk of flood catastrophe mainly concentrates on the central and eastern regions of China.Given the scenario of suffering once-in-a-century flood disaster,for majority of the major-producing provinces,the probability of 10% reduction of grain output is more than 90%.Especially,the probabilities of more than 15% decline in grain production reach up to 99.99,99.86,99.69,and 91.60% respectively in Anhui,Jilin,Liaoning,and Heilongjiang.Flood catastrophe assessment can provide multifaceted information about flood catastrophe risk that can help to guide management of flood catastrophe.

Catastrophe theory-based risk evaluation model for water and mud inrush and its application in karst tunnels

This paper presents a risk evaluation model of water and mud inrush for tunnel excavation in karst areas.The factors affecting the probabilities of water and mud inrush in karst tunnels are investigated to define the dangerousness of this geological disaster.The losses that are caused by water and mud inrush are taken into consideration to account for its harmfulness.Then a risk evaluation model based on the dangerousness-harmfulness evaluation indicator system is constructed,which is more convincing in comparison with the traditional methods.The catastrophe theory is used to evaluate the risk level of water and mud inrush and it has great advantage in handling problems involving discontinuous catastrophe processes.To validate the proposed approach,the Qiyueshan tunnel of Yichang-Wanzhou Railway is taken as an example in which four target segments are evaluated using the risk evaluation model.Finally,the evaluation results are compared with the excavation data,which shows that the risk levels predicted by the proposed approach are in good agreements with that observed in engineering.In conclusion,the catastrophe theory-based risk evaluation model is an efficient and effective approach for water and mud inrush in karst tunnels.

PRICING CATASTROPHE OPTIONS WITH COUNTERPARTY CREDIT RISK IN A REDUCED FORM MODEL

In this paper, we study the price of catastrophe Options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model： We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.

Risk Measure and Premium Distribution on Catastrophe Reinsurance

In this paper, we propose a new risk measure which is based on the Or- licz premium principle to characterize catastrophe risk premium. The intention is to develop a formulation strategy for Catastrophe Fund. The logarithm equivalent form of reinsurance premium is regarded as the retention of reinsurer, and the differential earnings between the reinsurance premium and the reinsurer＇s retention is accumu- lated as a part of Catastrophe Fund. We demonstrate that the aforementioned risk measure has some good properties, which are further confirmed by numerical simu- lations in R environment.

Research on the Risk Associated with Rural Drinking Water Safety Based on Catastrophe Theory

In this study, based on the analysis of the catastrophic risk of rural drinking water, with the representative villages in Ya’an as study objects and setting the four evaluation standards: water quality, water quantity, the Guarantee Probability for water Supply and the Convenience Level of the Access to Water Supply as the ba- sic framework, a Rural Drinking Water Safety Assessment was developed (RDWSA). Research showed that Catastrophe Theory was applicable in the RDWSA. Adding RDWSA based on Catastrophe Theory to the supportive system for decision-making in Ecological Hydrographic Management Decision Support System of Ya’an helped obtain the rank and results of RDWSE by the automatic calculation of programs, which could assist the risk assessment and risk management associated with rural drinking water in Ya’an.

Conditions of Agricultural Catastrophe Risks in China and Establishment of Agricultural Risks Protection Systems

Agricultural risks in our country have been introduced:firstly,disasters are multiple and frequently happened;secondly,widely affected and seriously suffered.Features of risks also are introduced:the first is the agricultural risk unit is large;the second is the agricultural risk is strongly regional;the third is the agricultural risk is universally half revival.The paper discusses the limits of the agricultural risks management,pointing out that in the management systems of agricultural risks,government finance is strongly burdened,compensations on the catastrophe is small in region,low in level.Based on the above analysis,the protection systems of agricultural risks have been constructed:the first is to establish the reassurance systems of agricultural risks;the second is to establish the risk funds of single agricultural item;the third is to transfer the catastrophe risks through stocks;the fourth is to construct multi leveled countermeasures of agricultural risks.

Comprehensive Disaster Risk Prevention of "the Belt and Road Initiative":Important Significance,Catastrophe Risk,International Cooperation and Strategic Countermeasure

"The Belt and Road Initiative"is major decision proposed by the CPC Central Committee with comrade Xi Jinping as the core co-ordinating the domestic and international overall situations,and concerns peaceful rise of China and extension of the strategic opportunity period of modernization construction.It needs multi-faceted safeguards to successfully impel"the Belt and Road Initiative",in which disaster risk identification and its effective prevention and control are indispensable links.By integrating geogeographic and atmospheric environmental factors,countries along"the Belt and Road Initiative"belong to frequent occurrence region of major natural disasters.It restricts not only the economic and social development of relevant countries but also implementation effect of"the Belt and Road Initiative"construction,and is also related to the success or failure of Chinese enterprises going out to a certain extent.It should enhance disaster prevention and mitigation and ensure safety of major infrastructure construction related to interconnection of"the Belt and Road Initiative"by disaster identification and prevention,which is the key of successfully impelling strategy implementation and major need for guaranteeing the people s livelihood of the countries along the line.The work of disaster prevention and mitigation in the countries along the line is generally weak,and it is urgent to raise the level of disaster prevention as a whole by promoting the disaster prevention and mitigation cooperation in the"the Belt and Road Initiative"area;improve the coverage and level of disaster risk insurance;enhance construction in monitoring and early warning capability of natural disaster;strengthen structural adjustment of economy,industry and land use responding to climate change risks;establish a comprehensive disaster reduction forum of"the Belt and Road Initiative",and contain relevant content in"the Belt and Road Initiative"series of high-end forum topics.

Establishment and Application of Assessment Indicator System of Agricultural Catastrophe Vulnerability

To give play to the role of agricultural catastrophe risk fund in spreading agricultural catastrophe risk,we select natural conditions,economic conditions,social conditions,as the external vulnerability assessment indicators;select commodity rate of agricultural products,substitutability of agricultural products,the extent of agricultural products being related to the national economy and the people's livelihood,as the internal vulnerability assessment indicators.We assign weight to indicators using Analytic Hierarchy Process,and establish assessment indicator system of agricultural catastrophe vulnerability,to analyze the compensation for losses of different agricultural products arising from agricultural catastrophe in different regions.And we take the case of rice in Sichuan Province,to demonstrate the role this indicator system.

Wind risk and mitigation calculator framework for determining the wind annualized risk for single- and multi-family homes to support resilient community decision-making

Communicating risks and mitigation benefits associated with natural hazards such as wind to the general public is challenging given the location-dependency of parameters and the complexity of the problem.Web tools play a crucial role in educating residents,decision-makers,and stakeholders regarding potential wind hazard losses to,for example,residential buildings.However,a notable gap exists on the practical incorporation of mitigation actions within these tools.This gap hampers the collective awareness and understanding among stakeholders,communities,and citizens regarding the tangible advantages of mitigation strategies in reducing wind-related risks.Furthermore,there exists a need to elucidate the functionality and objectives of these tools in a more accessible manner.This study aims to present and outline the wind risk and mitigation calculator tool(WRMCT)within the Hazardaware platform,which is an address-based risk assessment tool.This tool,developed for 196 counties in the Gulf of Mexico coastal area,facilitates users’education of potential risks and benefits associated with mitigation strategies.WRMCT enables users to access location-specific wind risk and interactively suggests potential mitigation actions along with economic savings to support informed decisions and residential risk reduction.WRMCT intends to enhance users’ability to make informed decisions,take proactive measures in mitigating wind hazards,and contribute to the development of resilient,residential communities.

Cusp Model for Risk Analysis

Aim To assess simultaneously various risk states of a system. Methods\ Using the catastrophe and fuzzy theory, the energy and uncertainty in a system are set as two control variables and the function of the system is used as the state variable for analysis. Results and Conclusion\ A risk analysis model named the cusp model is presented. Various states regarding the safety of the system such as the accident state, no accident state and miss state can be represented at will on the cusp model.

Research on the Model of Household Credit Risk Evaluation of Rural Microfinance

Since rural microfinance is a credit which grants loans without collateral and guarantees to farmers,it is considerably important to evaluate and control the household credit risk.Through establishing the evaluation index system and then using catastrophe progression theory,three common types of catastrophe system and the normalization formula,we get the comprehensive evaluation.Finally,we take the empirical test and the result shows that this method is simpler and more objective which can be used by the credit cooperatives to decide whether to authorize the loans.

Evolution of seismic risk management for insurance over the past 30 years

During the past 30 years, there has been spectacular growth in the use of risk analysis and risk management tools developed by engineers in the financial and insurance sectors. The insurance, the reinsurance, and the investment banking sectors have enthusiastically adopted loss estimation tools developed by engineers in developing their business strategies and for managing their financial risks. As a result, insurance/reinsurance strategy has evolved as a major risk mitigation tool in managing catastrophe risk at the individual, corporate, and government level. This is particularly true in developed countries such as US, Western Europe, and Japan. Unfortunately, it has not received the needed attention in developing countries, where such a strategy for risk management is most needed. Fortunately, in the last five years, there has been excellent focus in developing ＂Insur Tech＂ tools to address the much needed ＂Insurance for the Masses＂, especially for the Asian Markets. In the earlier years of catastrophe model development, risk analysts were mainly concerned with risk reduction options through engineering strategies, and relatively little attention was given to financial and economic strategies. Such state-of-affairs still exists in many developing countries. The new developments in the science and technologies of loss estimation due to natural catastrophes have made it possible for financial sectors to model their business strategies such as peril and geographic diversification, premium calculations, reserve strategies, reinsurance contracts, and other underwriting tools. These developments have not only changed the way in which financial sectors assess and manage their risks, but have also changed the domain of opportunities for engineers and scientists.This paper will address the issues related to developing insurance/reinsurance strategies to mitigate catastrophe risks and describe the role catastrophe risk insurance and reinsurance has played in managing financial risk due to natural catastrophes. Historical losses and the share of those losses covered by insurance will be presented. How such risk sharing can help the nation share the burden of losses between tax paying public, the ＂at risk＂ property owners, the insurers and the reinsurers will be discussed. The paper will summarize the tools that are used by the insurance and reinsurance companies for estimating their future losses due to catastrophic natural events. The paper will also show how the results of loss estimation technologies developed by engineers are communicated to the business flow of insurance/reinsurance companies. Finally, to make it possible to grow ＂Insurance for the Masses - IFM＂, the role played by parametric insurance products and Insur Tech tools will be discussed.

The Policies of Seismic Risk Management： Case of the Protected Areas of Dellys and Tenes Cities, Algeria

The greater part of urban heritage, especially of the medium and small Algerian cities, is subject to a major seismic risk. The probability of a happening earthquake is strong, and the territories vulnerability is great. Legislative procedures are implemented to support urban heritage and managing natural disasters. In fact, the PPSMVSS （permanent plan of safeguard and enhancement of saved sectors） as an instrument of protection, preservation and enhancement of this heritage, in its content, does not guide decision makers on how to manage the vulnerability of preserved areas from the earthquake. After the disaster of the earthquake that hit the Algerian Centre （wilaya of Boumerdes） in 2003. A legislative framework was created while other texts have been adapted. Emergency measures operations are launched to preserve the under threat monuments and protected areas. Saved sectors of Dellys, in the wilaya of Boumerdes and T6n^s in the wilaya of Chlef, are all the time subjected to seismic risk. This article presents a comparative study of two PPSMVSS, Dellys and T6n6s, and the management of the vulnerability of their two safeguarded areas. As a result of this study, some indicators were identified to allow the development of plans for the protection and management natural risks of these protected areas.

底线思维与科技审度:高风险社会治理的要义与进路

当前AI大爆发及其应对乏力表明,西方科技发展模式的缺陷与人类社会的脆弱及学界研究的薄弱,更加凸显人类风险防控机制存在诸多漏洞及其引发的科技危机与人类安全危机,已把人类带入高风险社会。用底线思维与刘大椿提出的科技审度予以破解:底线思维解决非共识下的议而不决;科技审度和审度思维所特有的执两用中、包容互补、多元开放、整合升级、共识决策等,可提供有效的治理对策。科技转型是治理科技风险的根本解决之道,科技审度可发挥重要的启发与引导作用,以构建真善美的新型科技发展模式,加快世界科学中心建设,据此总结出高风险社会治理的要义与进路,以作为科技风险治理的研究指南。

金融高质量发展助力强国建设背景下巨灾商业保险发展研究——基于粤港澳大湾区实践

推进保险业创新发展是深化金融供给侧结构性改革的重要部分,对加快建设中国特色现代金融体系、提高金融服务经济社会发展的质效具有重要意义。从粤港澳大湾区的实践来看,巨灾商业保险发展可以降低灾害风险对经济的影响,提升社会的整体巨灾应对能力,促进区域内跨境商业活动的顺利开展。文章解析了粤港澳大湾区巨灾商业保险的发展背景、制度设计和金融服务支持现状,深入分析了当前粤港澳大湾区巨灾商业保险发展中存在的个体覆盖问题、市场供给约束及法律保障制度缺陷,结合日、美三大著名湾区巨灾商业保险的发展经验,围绕金融高质量发展,从需求侧出发刺激巨灾保险需求、从供给侧出发释放巨灾保险活力、发挥政府职能推进高质量巨灾商业保险制度设计、探索中国特色的“多层次”巨灾商业保险制度四个方面,提出适合我国国情的巨灾商业保险发展的建议。

地震多发区居民风险感知对巨灾保险需求影响研究

地震巨灾保险一直是我国地震灾害风险共担体系的重要组成部分。本文基于2023年1月26日四川泸定5.6级地震问卷调查数据,探索居民风险感知对巨灾保险需求的影响,以期改善地震巨灾保险具体推广路径。实证分析结果表明,存在地震经历、心理恐慌程度、地震保险认知这三种风险感知因子对地震巨灾保险需求产生正向影响。此外,附加政府补贴政策的巨灾保险产品,更容易得到居民的认可。因此,我国巨灾保险的推广,尤其是在地震多发区,要坚持长期普及和灾时宣传相结合的策略。在当前的地震保险推广过程中,仍然需要继续实行附加政府补贴的政策,将有利于我国巨灾保险的健康发展。

基于陆探一号SAR卫星的地质灾害普查监测技术研究及应用

为提升城市安全风险综合监测预警能力,进一步摸清城市安全风险的结构特点,济南市自2024年开始引入基于卫星的“天基”监测网络,将SAR卫星用于河堤、大坝、桥梁等重大基础设施、超高层建筑、矿山、地质灾害等的月度形变监测。本文利用LandSAR国产软件,基于陆地探测一号(LT-1)SAR数据对济南市南部地区2800 km^(2)范围区域开展了地表形变研究。研究结果表明,LT-1可有效用于地质灾害形变普查监测,济南市地质灾害隐患集中分布的南部地区地表较为稳定、无重大形变变化;同时,还监测到部分露天矿区存在明显沉降,也可为矿区安全生产等监管提供监测依据。

基于突变理论和模糊数学的湖库型水源地风险评价

为科学评估湖库型水源地风险评价等级,以茂名市电白区罗坑水库水源地为例,从水要素、管理要素、社会经济要素3方面构建了湖库型水源地风险评价指标体系,并确定各指标的评价标准,基于突变理论和模糊数学构建了风险评价模型。结果表明:水源地风险等级与水源地建设投入关系密切。自2018年罗坑水库水源地划为饮用水水源地以来,随着水源地建设投入的加大和保护力度的增强,水源地风险逐渐降低。2018-2022年,罗坑水库水源地风险评价等级依次为较高风险、较高风险、中风险、较低风险、较低风险;尽管现在罗坑水库风险较低,但后续罗坑水库仍需加大投入力度,提高水源地管理、监控和应急水平、进一步降低风险等级。

Catastrophe Risk Management for Electric Power Distribution Systems:An Insurance Approach

High-impact,low-probability catastrophes may cause equipment damage,customer outages and serious economic losses to an aging power distribution infrastructure with low redundancy and automation.To cope with catastrophe risks faced by distribution systems(DSs),insurance is proposed as a supplement to existing resilience enhancement measures,which can provide financial aid in recovery after disasters,as well as incentives to make DSs more resilient to potential hazards.This calls for a quantitative assessment for insurance pricing that can not only predict potential losses caused by future catastrophes but also evaluate the effect of risk management measures.In this paper,a four-module actuarial framework,including hazard,vulnerability,resilience,and insurance modules,is developed to assess the catastrophe risks of DSs.Based on Monte Carlo simulation(MCS)and mixed integer linear programming(MILP),the dynamic characteristics of disasters,random failures of equipment,control measures including fault isolation,load transfer,line patrolling,manual switching,and fault repair,are comprehensively incorporated in the premium determination of catastrophe insurance.Numerical simulations are performed on the modified IEEE 33-bus test systems to illustrate the validity of the proposed catastrophe insurance schemes.