• DocumentCode
    2653817
  • Title

    Study on Catastrophe Bond Pricing Model Based on Behavioral Finance

  • Author

    Kai, YANG ; Zhong-ying, Qi ; Shang-zhi, YUE

  • Author_Institution
    Harbin Inst. of Technol., Harbin
  • fYear
    2007
  • fDate
    20-22 Aug. 2007
  • Firstpage
    1725
  • Lastpage
    1736
  • Abstract
    As a developing nation, China should develop perfect catastrophe insurance system to ensure stabilization of society and development of economy. But characteristics of catastrophe insurance breach basic guide line of conventional insurance-the law of the great number, and then lacking risk transferring approach let insurance agents be unwilling to develop catastrophe insurance. Catastrophe bond is a new underwriting risk transferring approach. China has basal conditions to develop catastrophe bond. But studies on correlative theories of catastrophe bond hang behind in China. Study on catastrophe bond pricing model is the most important in correlative studies. So after considering roundly catastrophe bond´s attributes of insurance production and venture capital production, the paper wants to amend the catastrophe bond pricing model that is constructed under risk pricing frame of standard finance by using behavioral finance method. On the base, the paper constructs catastrophe bond pricing model of China according to the situation of china at last. The author hopes that the paper can advance studies on correlative theories of catastrophe bond and let catastrophe bond be issued as soon as possible in China.
  • Keywords
    financial management; insurance; pricing; risk management; China; behavioral finance method; catastrophe bond pricing model; catastrophe insurance system; economy development; risk transferring approach; society stabilization; venture capital production; Bonding; Conference management; Engineering management; Finance; Financial management; Insurance; Pricing; Production; Technology management; Venture capital; behavioral finance; catastrophe bond; perspective theory; value function;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Management Science and Engineering, 2007. ICMSE 2007. International Conference on
  • Conference_Location
    Harbin
  • Print_ISBN
    978-7-88358-080-5
  • Electronic_ISBN
    978-7-88358-080-5
  • Type

    conf

  • DOI
    10.1109/ICMSE.2007.4422091
  • Filename
    4422091