サイクロンリスク証券化におけるパラメトリック・トリガーの条件設定に関する考察

概要

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Recently, the alternative risk transfer ("ART") has been known as a useful risk management tool in the risk financing to diversify the natural catastrophic risk that retained by the insurers and re-insurers to issue the Cat-bond. Usually the parametric trigger based CAT-bond linked to natural phenomena such as a earthquake magnitude and a central pressure of the hurricane is popular product in the market due to their transparency for the investors as a risk taker. For the desigining of the CAT-bond, the efficiency of the risk transferring is the key factor to measure the effectivness of the Cat-bond. In the study, we studied the efficincy of the risk transferring to vary the parameters such as a center pressure difference, a gate size of the cyclone passing etc.
地域安全学会の論文