首页> 外文OA文献 >Loss modeling for pricing catastrophic bonds
【2h】

Loss modeling for pricing catastrophic bonds

机译:灾难性债券定价的损失建模

代理获取
本网站仅为用户提供外文OA文献查询和代理获取服务,本网站没有原文。下单后我们将采用程序或人工为您竭诚获取高质量的原文,但由于OA文献来源多样且变更频繁,仍可能出现获取不到、文献不完整或与标题不符等情况,如果获取不到我们将提供退款服务。请知悉。

摘要

It is important to be able to quantify potential seismic damage to structures andcommunicate risk in a comprehendible way to all stakeholders. The risks involved withdamage to constructed facilities due to catastrophic disasters can be hedged usingfinancial instruments such as Catastrophic (CAT) bonds. This work uses the loss ratio(Lr), which is the ratio of the repair cost to the total replacement cost, to representstructural and non-structural damage caused by earthquakes.A loss estimation framework is presented that directly relates seismic hazard toseismic response to damage and hence to losses. A key feature of the loss estimationapproach is the determination of losses without the need for fragility curves. APerformance-Based Earthquake Engineering (PBEE) approach towards assessing theseismic vulnerability of structures relating an intensity measure (IM) to its associatedengineering demand parameter (EDP) is used to define the demand model. Anempirically calibrated tripartite loss model in the form of a power curve with upper andlower cut-offs is developed and used in conjunction with the previously defined demandmodel in order to estimate loss ratios. The loss model is calibrated and validated for different types of bridges and buildings. Loss ratios for various damage states take intoaccount epistemic uncertainty as well as an effect for price surge following a majorhazardous event. The loss model is then transformed to provide a composite seismichazard-loss relationship which is used to estimate financial losses from expectedstructural losses.The seismic hazard-loss model is then used to assess the expected spread, that isthe interest rate deviation above the risk-free (prime) rate in order to price two types ofCAT bonds: indemnity CAT bonds and parametric CAT bonds. It is concluded that CATbonds has the ability to play a major role in hedging financial risk associated withdamage to a civil engineering facility as a result of a catastrophe. However, it is seen thata potential investor seeks a high degree of confidence when investing in CAT bonds asthere is huge uncertainty surrounding the probability of occurrence of an event.
机译:重要的是能够量化对结构的潜在地震破坏并以一种易于理解的方式将风险传达给所有利益相关者。可以使用诸如灾难性(CAT)债券之类的金融工具来对付因灾难性灾难而对已建设施造成损害的风险。这项工作使用损失率(Lr)来表示地震造成的结构性和非结构性破坏,它是维修成本与总重置成本之比,提出了一种将地震危险与地震响应与破坏直接相关的损失估算框架。因此造成损失。损失估算方法的主要特征是无需脆弱曲线即可确定损失。基于性能的地震工程(PBEE)方法用于评估将强度度量(IM)与其相关的工程需求参数(EDP)相关联的结构的这些地震易损性,用于定义需求模型。建立了具有上,下截止值的幂曲线形式的经验校准的三方损失模型,并将其与先前定义的需求模型结合使用,以估算损失率。损耗模型已针对不同类型的桥梁和建筑物进行了校准和验证。各种损坏状态的损失率考虑到了认知上的不确定性以及重大危险事件后价格飙升的影响。然后对损失模型进行转换以提供综合的地震危险度-损失关系,该关系用于从预期的结构损失中估算财务损失;然后使用地震危险度-损失模型来评估预期的利差,即高于无风险利率的利率偏差(主要)利率以对两种类型的CAT债券定价:赔偿CAT债券和参数CAT债券。结论是,CATbonds有能力在对冲与灾难造成的对土木工程设施的损害相关的财务风险中发挥重要作用。但是,可以看到,潜在的投资者在投资CAT债券时会寻求高度的信心,因为围绕事件发生的可能性存在很大的不确定性。

著录项

  • 作者

    Sircar Jyotirmoy;

  • 作者单位
  • 年度 2009
  • 总页数
  • 原文格式 PDF
  • 正文语种 en_US
  • 中图分类

相似文献

  • 外文文献
  • 中文文献
  • 专利

客服邮箱:kefu@zhangqiaokeyan.com

京公网安备:11010802029741号 ICP备案号:京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有
  • 客服微信

  • 服务号