PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE
Catastrophe risk bond is an alternative important of financial instruments and significant in transferring catastrophe risk to the capital markets. CAT Bond created as a complement to the traditional insurance or reinsurance contract in funding due to the risk of the catastrophe event. An important...
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| Main Authors: | , |
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2014
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| 主題: | |
| 在線閱讀: | https://repository.ugm.ac.id/133686/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74453 |
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| 總結: | Catastrophe risk bond is an alternative important of financial instruments
and significant in transferring catastrophe risk to the capital markets. CAT Bond
created as a complement to the traditional insurance or reinsurance contract in
funding due to the risk of the catastrophe event. An important parameter in all
pricing models of CAT Bond is a probability of the catastrophe. The catastrophe
events are assumed to follow the Poisson process. First, we derive a zero coupon
bond pricing formula in a stochastic interest rate of CIR model with martingale
method as instruments of pricing CAT Bond. |
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