PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE; PRICING CATASTROPHE RISK BOND WITH MARTINGALE METHOD

IPUNG SETIAWAN, Gunardi

2014 | Disertasi | PROGRAM STUDI S2 MATEMATIKA

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.

Kata Kunci : catastrophe risk bond, CIR, martingale, Poisson processes.