Market-consistent valuation of natural catastrophe risk
针对缺乏活跃市场的自然灾害风险工具，提出利用巨灾债券二级市场报价提取隐含泊松强度，并沿期限和损失概率两个维度估计平滑强度曲面，实现非流动性头寸的市场化估值。
Natural catastrophe risk is increasingly being covered through alternative capital instead of reinsurance. Since most such instruments do not trade in an active market, their ongoing valuation is a challenge. As a solution, we propose to exploit pricing information embedded secondary market catastrophe bond quotes. Specifically, we use a reduced form model to extract implied Poisson intensities from regularly observed prices. Next, we show that the intensities can be explained by time to maturity and modeled probability of first loss. Along these two dimensions, we estimate smooth intensity surfaces that allow investors to mark illiquid catastrophe risk positions to market.