Catasrophe Bond Pricing: An Application of Extreme Value Theory
This research aim to (1) apply catastrophe (CAT) bond pricing model by Zimbidis, Frangos and Pantelous onto data of Japan seismic activities (2) explore the option of using generalise Pareto distribution in Zimbidis, Frangos and Pantelous model. Qualitative methods and statistical software R is appl...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/26187/ |
| _version_ | 1848793126647365632 |
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| author | Ong, Sze En |
| author_facet | Ong, Sze En |
| author_sort | Ong, Sze En |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This research aim to (1) apply catastrophe (CAT) bond pricing model by Zimbidis, Frangos and Pantelous onto data of Japan seismic activities (2) explore the option of using generalise Pareto distribution in Zimbidis, Frangos and Pantelous model. Qualitative methods and statistical software R is applied to achieve the objectives of this study. GEV fitted Japan data of earthquake is input to Zimbidis model and found that compared to the original study on Greece, Japan who has higher seismic risk is found to have tail heavier. A 5 year CAT bond is found to be more risky than a one year CAT bond. So the price of a 5 year CAT bond is found to be smaller than that of a one year bond. On the other hand, GPD fitted Japan data of earthquake is input to Zimbidis model and found that the simulated prices are more consistent than those produced by GEV fitted Japan data do. Thus, GPD is said to be more appropriate in distributing Japanese earthquake risk dynamics. Hence, in order to price a Japanese CAT bond, GPD is a better choice given the set of Japan data of earthquake within the same time frame. |
| first_indexed | 2025-11-14T18:55:21Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-26187 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:55:21Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-261872017-10-19T13:21:48Z https://eprints.nottingham.ac.uk/26187/ Catasrophe Bond Pricing: An Application of Extreme Value Theory Ong, Sze En This research aim to (1) apply catastrophe (CAT) bond pricing model by Zimbidis, Frangos and Pantelous onto data of Japan seismic activities (2) explore the option of using generalise Pareto distribution in Zimbidis, Frangos and Pantelous model. Qualitative methods and statistical software R is applied to achieve the objectives of this study. GEV fitted Japan data of earthquake is input to Zimbidis model and found that compared to the original study on Greece, Japan who has higher seismic risk is found to have tail heavier. A 5 year CAT bond is found to be more risky than a one year CAT bond. So the price of a 5 year CAT bond is found to be smaller than that of a one year bond. On the other hand, GPD fitted Japan data of earthquake is input to Zimbidis model and found that the simulated prices are more consistent than those produced by GEV fitted Japan data do. Thus, GPD is said to be more appropriate in distributing Japanese earthquake risk dynamics. Hence, in order to price a Japanese CAT bond, GPD is a better choice given the set of Japan data of earthquake within the same time frame. 2012-12-13 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/26187/1/SZEEN_ONG_MSc_Risk_Management.pdf Ong, Sze En (2012) Catasrophe Bond Pricing: An Application of Extreme Value Theory. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Ong, Sze En Catasrophe Bond Pricing: An Application of Extreme Value Theory |
| title | Catasrophe Bond Pricing: An Application of Extreme Value Theory |
| title_full | Catasrophe Bond Pricing: An Application of Extreme Value Theory |
| title_fullStr | Catasrophe Bond Pricing: An Application of Extreme Value Theory |
| title_full_unstemmed | Catasrophe Bond Pricing: An Application of Extreme Value Theory |
| title_short | Catasrophe Bond Pricing: An Application of Extreme Value Theory |
| title_sort | catasrophe bond pricing: an application of extreme value theory |
| url | https://eprints.nottingham.ac.uk/26187/ |