PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE
| Main Authors: | , IPUNG SETIAWAN, , Dr. Gunardi, M.Si. |
|---|---|
| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2014
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/133686/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74453 |
Daftar Isi:
- 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.