PENENTUAN HARGA OBLIGASI BENCANA DENGAN METODE ANALISIS KUANTITATIF ( PRICING CATASTROPHE BONDS WITH QUANTITATIVE ANALYSIS METHOD )

Anugrawati, Sri Dewi, Dedi Rosadi

2015 | Disertasi | FMIPA

Catastrophe bonds is one of insurance linked securities. These bonds allow insurance or reinsurance companies to transfer some of the risk of losses due to catastrophic event to the securities market. Due to the transfer of risk to the securities market, the transformation of catastrophic losses probability that occurred is needed where in this case the Wang double factor probability transformation model was used by adding the market price of risk as compensation of investors decision to took the risks of trading these securities. Data of catastrophic losses from disaster event that has occurred in the quantitative analysis method is very important in determining the reasonable price of the bonds. It is also closely related to reinsurance premiums, coupons, and loss ratio is in the sponsorship contract with investors through the SPV. Bond prices are also influenced by the time of maturity and the risk free rate .

Kata Kunci : Catastrophe bonds; Aggregate loss; Probability transform; Wang double factor model; Reinsurance premiums; Coupon of bonds; Market price of risk ; Risk free rate.