1. CATASTROPHE REINSURANCE PRICING -MODIFICATION OF DYNAMIC ASSET-LIABILITY MANAGEMENT

被引：0

作者：

Kang, Han-Bin ^{[1
]}

Chang, Hsuling ^{[2
]}

Chang, Tsangyao ^{[3
]}

机构：

[1] Qingdao Univ, Sch Econ, Qingdao, Shandong, Peoples R China

[2] Ling Tung Univ, Dept Accounting, Taichung, Taiwan

[3] Feng Chia Univ, Dept Finance, Taichung, Taiwan

来源：

ROMANIAN JOURNAL OF ECONOMIC FORECASTING | 2022年 / 25卷 / 04期

关键词：

catastrophe reinsurance; catastrophe bonds; asset-liability management; Monte-Carlo simulation; CAT BONDS; MARKET; RATES;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study emphasizes the catastrophic reinsurance pricing and its sensitivity based on the asset-liability management (ALM) model. For this purpose, the instantaneous interest rate elastic stochastic ALM model of asset liability valuation is modified. Further, taking the earthquake disaster loss in China as an example, the rates of the catastrophe reinsurance are simulated by Monte Carlo method and the sensitivities of asset liability ratio, trigger level, debt structure and basis risk of the catastrophe reinsurance pricing are studied. This paper provides a validation study on the modification of the ALM model, and a quantitative reference regarding the rates of catastrophe reinsurance for the reinsurance company to deal with huge catastrophe losses such as earthquake or hurricane.

引用

页码：5 / 20

页数：16

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