PENENTUAN HARGA OBLIGASI BENCANA ALAM dengan METODE PENDEKATAN GAMMA; (PRICING CATASTROPHE RISK BONDS : A GAMMA APPROXIMATION METHOD)

Anggraini, Dian, Gunardi

2015 | Disertasi | FMIPA UGM

This thesis presents a contingent claim model similar to the one described by Lee and Yu (2002) for pricing catastrophe risk bonds. First, we derive a bond pricing formula in stochastic interest rates environment with the losses following a compound nonhomogeneous poisson process. Furthermore, we estimate and calibrate the parameters of the pricing model using the catastrophe loss data provided by Insurance Information Institute (III) from 1989 to 201 and data interest rate by Federal Reserve Bank. As no closed – form solution can be obtained, we propose a gamma approximation method to find numerical solution for the price of catastrophe risk bonds. Finally, numerical experiments demonstrate how financial risks and catastrophic risks affect the prices of catastrophe bonds.

Kata Kunci : N