用损失总量分布的近似方法估计洪水巨灾债券价格:来自印度尼西亚的证据

IF 1.4 Q3 OPERATIONS RESEARCH & MANAGEMENT SCIENCE
Riza Andrian Ibrahim, S. Sukono, H. Napitupulu, R. Ibrahim, M. D. Johansyah, J. Saputra
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引用次数: 4

摘要

预计印尼政府将因洪水遭受损失。这是因为印度尼西亚许多地区的人口增长、集水区关闭和气候变化的重要性。政府试图降低风险,但面临资金不足的问题。因此,新的创新资金来源对于克服这些限制至关重要。获得资金的一种方式是发行洪水巨灾债券(FCB)。不幸的是,印尼直到现在还没有FCB的价格估计。在此问题的基础上,本研究旨在对印度尼西亚的FCB价格进行估算。使用的主要方法是总损失分布的近似方法。该方法可以较快地计算出总洪水损失累积分布函数值。FCB公允价格估计结果是便宜的,因为该工具的风险是显著的。这种巨大的风险也与巨大的回报成正比。最后,进一步分析发现,在印度尼西亚,FCB的附着点与价格是一致的关系,而FCB的期限则不是。本研究有望协助印尼政府确定印尼FCB的公平价格。本研究可以帮助投资者根据预期收益、依附点和期望期限来选择FCB。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Estimating flood catastrophe bond prices using approximation method of the loss aggregate distribution: Evidence from Indonesia
Losses experienced by the Indonesian government due to floods are predicted. It is because of the significance of population growth, closure of water catchment areas, and climate change in many regions in Indonesia. The government has tried to reduce the risk but faces insufficient funds. Therefore, new innovative funding sources are essential to overcome these limitations. One way to obtain it is through issuing Flood Catastrophe Bonds (FCB). Unfortunately, Indonesia has had no FCB price estimate until now. On the basis of this problem, this study aims to estimate the FCB price in Indonesia. The primary method used is the approximation method of the aggregate loss distribution. This method can compute the aggregate flood loss cumulative distribution function value faster. The FCB fair price estimation results are cheap because the risk of the instrument is significant. This significant risk is also proportional to the large return. Finally, further analysis shows that in Indonesia, the attachment point of the FCB has a relationship that is in line with the price, while the term of FCB does not. This research is expected to assist the Indonesian government in determining the fair price of FCB in Indonesia. This research can assist the investors in choosing FCB based on expected return, attachment point, and the term they want.
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来源期刊
Decision Science Letters
Decision Science Letters Decision Sciences-Decision Sciences (all)
CiteScore
3.40
自引率
5.30%
发文量
49
审稿时长
20 weeks
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