Study on the Pricing and Issue Scale of Marine Catastrophe Bonds

摘要

The marine catastrophe always causes huge losses, and it is easy for insurance companies to go bankrupt when they take on catastrophic insurance. To ensure the normal operation of insurance companies and effectively manage catastrophic risks, catastrophe bonds can be designed to transfer risks to the capital market. Based on the fat-tailed characteristics of catastrophic loss data, the POT model is used to study the marine catastrophe loss data. Firstly estimate the parameters of generalized Pareto distribution of marine catastrophe losses; secondly design and price the marine catastrophe bonds by using non-life insurance actuarial science techniques, then estimate the bond issuance scale by the total expected value of bond claims.