Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
研究了保险公司与对冲基金之间的巨灾风险债券合同，采用效用无差异定价法，并以伊朗两个城市低温风险下的农业巨灾债券为例进行定价。
Catastrophe risk bonds are always within a multi-asset class portfolio of alternative risk premia in many hedge funds. In this paper, we consider an over-the-counter insurance contract on catastrophe risk between an insurance company and a hedge-fund. The contract acts as a bond within which the insurance company, which issues the bond, pays payments higher than the market risk-free interest, in order to be insured against the risk of a predefined natural catastrophe. The contract is priced by the utility indifference pricing method. We apply our framework to price agricultural catastrophe bonds in two cities in Iran where their harvests are exposed to the risk of low temperature.