How to cite this paper
Ibrahim, R., Sukono, S., Napitupulu, H., Ibrahim, R., Johansyah, M & Saputra, J. (2023). Estimating flood catastrophe bond prices using approximation method of the loss aggregate distribution: Evidence from Indonesia.Decision Science Letters , 12(2), 179-190.
Refrences
Anderson, T.W., and Darling, D.A. (1952). Asymptotic theory of certain "goodness of fit" criteria based on stochastic processes. The Annals of Mathematical Statistics, 23(2), 193–212. http://dx.doi.org/10.1214/aoms/1177729437
Burnecki, K., & Giuricich, M.N. (2017). Stable weak approximation at work in index-linked catastrophe bond pricing. Risks, 5(4), 1–19. https://doi.org/10.3390/risks5040064
Carayannopoulos, P., & Perez, M.F. (2015). Diversification through catastrophe bonds: Lessons from the subprime financial crisis. The Geneva Papers, 40, 1-28. https://doi.org/10.1057/gpp.2014.14
Čepienė, E., Dailidytė, L., Stonevičius, E., & Dailidienė, I. (2022). Sea Level Rise Impact on Compound Coastal River Flood Risk in Klaipėda City (Baltic Coast, Lithuania). Water, 14(3), 414. https://doi.org/10.3390/w14030414
Chao, W., & Zou, H. (2018). Multiple-event catastrophe bond pricing based on CIR-Copula-POT model. Discrete Dynamics in Nature and Society, 2018(5068480), 1-9. https://doi.org/10.1155/2018/5068480
Chaubey, Y.P., Garrido, J., & Trudeau, S. (1998). On the computation of aggregate claims distributions: Some new approximations. Insurace: Mathematics and Economics, 23(3), 215-230. https://doi.org/10.1016/S0167-6687(98)00029-8
Cummins, J.D. (2008). CAT bonds and other risk-linked securities: State of the market and recent developments. Risk Management and Insurance Review, 11(1), 23–47. https://doi.org/10.1111/j.1540-6296.2008.00127.x
Cummins, J.D., & Weiss, M.A. (2009). Convergence of insurance and financial markets: Hybrid and securitised risk-transfer solutions. The Journal of Risk and Insurance, 76(3), 493–545. https://doi.org/10.1111/j.1539-6975.2009.01311.x
Dalimunthe, S.A. (2018). Rural Indonesian insight on mass media role in reducing climate change risk. Climate Change Management, 2, 61-67. https://doi.org/10.1007/978-3-319-70066-3_5
Dickson, D.C.M. (2005). Insurance Risk and Ruin. Cambridge: Cambridge University Press.
Gunardi, & Setiawan, E.P. (2015). Valuation of Indonesian catastrophic earthquake bonds with generalised extreme value (GEV) distribution and Cox-Ingersoll-Ross (CIR) interest rate model. In 2014 1st International Conference on Actuarial Science and Statistics (Cat No. 020024-1-020024-14) (Vol. 1692, pp 1-14). http://dx.doi.org/10.1063/1.4936452
Härdle, W.K., & Cabrera, B.L. (2010). Calibrating CAT bonds for Mexican earthquakes. The Journal of Risk and Insurance, 77(3), 625-650. https://doi.org/10.1111/j.1539-6975.2010.01355.x
Hengky, K., Putri, E.R.M., Imron, C., & Prastyo, D.D. (2021). In 2020 6th International Conference on Mathematics: Pure, Applied and Computation (Cat No. 012026) (Vol. 1821, pp. 1-11). https://doi.org/10.1088/1742-6596/1821/1/012026
Ibrahim, R.A., Sukono, & Napitupulu, H. (2022). Multiple-trigger catastrophe bond pricing model and its simulation using numerical methods. Mathematics, 10(9), 1363. https://doi.org/10.3390/math10091363
Jarrow, R.A. (2010). A simple robust model for CAT bond valuation. Finance Research Letters, 7(2), 72-70. https://doi.org/10.1016/j.frl.2010.02.005
Klugman, S.A., Panjer, H.H, & Willmot, G.E. (2008). Loss Models: From Data to Decisions, third ed. New York: Wiley.
Kurniawan, H., Putri, E. R., Imron, C., & Prastyo, D. D. (2021, March). Monte Carlo method to valuate CAT bonds of flood in Surabaya under jump diffusion process. In Journal of Physics: Conference Series (Vol. 1821, No. 1, p. 012026). IOP Publishing. https://doi.org/10.1088/1742-6596/1821/1/012026
Law, A.M., & Kelton, W.D. (2000). Simulation Modeling and Analysis, third ed. New York: McGraw Hill.
Loubergé, H., Kellezi, E., & Gilli, M. (1999). Using catastrophe-linked securities to diversify insurance risk: a financial analysis of CAT bonds. Journal of Insurance Issues, 22(2), 126–146. http://www.jstor.org/stable/41946177
Ma, Z.G., & Ma, C.Q. (2013). Pricing catastrophe risk bonds: A mixed approximation method. Insurance: Mathematics and Economics, 52(2), 243–254. https://doi.org/10.1016/j.insmatheco.2012.12.007
Nowak, P., & Romaniuk, M. (2013). Pricing and simulations of catastrophe bonds. Insurance: Mathematics and Economics, 52(1), 18-28. https://doi.org/10.1016/j.insmatheco.2012.10.006
Nowak, P., & Romaniuk, M. (2018). Valuing catastrophe bonds involving correlation and CIR interest rate model. Computational and Applied Mathematics, 37, 365-394. https://doi.org/10.1007/s40314-016-0348-2
Panjer, H.H., & Willmot, G.E., (1992). Insurance Risk Models. Schaumburg: Society of Actuaries.
Pauline, T. (2008). Flood in Jakarta: When the extreme reveals daily structural constrains and mismanagement. Disaster Prevention and Management, 17(3), 358-372. https://doi.org/10.1108/09653560810887284
Pollner, J. D. (2001). Managing catastrophic disaster risks using alternative risk financing and pooled insurance structures. Washington D.C.: World Bank Technical Paper.
Reijnen, R., Albers, W., & Kallenberg, W.C.M. (2005). Approximation of stop-loss reinsurance premiums. Insurance: Mathematics and Economics, 36(3), 237-250. https://doi.org/10.1016/j.insmatheco.2005.02.001
Ross, S. M. (1996). Stochastic Processes, second Edition. New Jersey: John Wiley and Sons, Inc.
Shao, J., Pantelous, A., & Papaioannou, A.D. (2015). Catastrophe risk bonds with applications to earthquakes. European Actuarial Journal, 5, 113-138. https://doi.org/10.1007/s13385-015-0104-9
Sholihah, Q., Kuncoro, W., Wahyuni, S., Suwandi, S.P., & Feditasari, E.L. (2020). The analysis of the causes of flood disasters and their impacts in the perspective of environmental law. In 2019 4th International Conference of Water Resources Development and Environmental Protection. (Cat No. 012056) (Vol. 437, pp. 1-7). https://doi.org/10.1088/1755-1315/437/1/012056
Siyamah, I., Putri, E.R.M., & Imron, C. (2021). Cat bond valuation using Monte Carlo and quasi-Monte Carlo method. In 2020 International Conference on Mathematics: Pure, Applied, and Computation. (Cat No. 012053) (Vol. 1821, pp. 1-10). https://doi.org/10.1088/1742-6596/1821/1/012053
Stephens, M.A. (1974). EDF statistics for goodness of fit and some comparisons. Journal of the American Statistical Association, 69(347), 730–737. https://doi.org/10.2307/2286009
Sukono, Juahir, H., Ibrahim, R.A., Saputra, M.P.A., Hidayat, Y., & Prihanto, I.G. (2022). Application of compound poisson process in pricing catastrophe bonds: A systematic literature review. Mathematics, 10(15), 2668. https://doi.org/10.3390/math10152668
Tabari, H. (2020). Climate change impact on flood and extreme precipitation increases with water availability. Scientific Reports, 10, 13768. https://doi.org/10.1038/s41598-020-70816-2
Tang, Q., & Yuan, Z. (2019). CAT bond pricing under a product probability measure with POT risk characterisation. ASTIN Bulletin, 49(2), 457–490. https://doi.org/10.1017/asb.2019.11
Tse, Y.K. (2009). Nonlife Actuarial Models: Theory, Models and Evaluation. Cambridge: Cambridge University Press.
Vaugirard, V.E. (2003). Pricing catastrophe bonds by arbitrage approach. The Quarterly Review of Economics and Finance, 43(1), 119-132. https://doi.org/10.1016/S1062-9769(02)00158-8
Watanabe, G., Motoyama, M., Nakajima, I., & Sasaki, K. (2018). Relationship between water-holding capacity and intramuscular fat content in Japanese commercial pork loin. Asian-Australasian Journal of Animal Sciences, 31(6), 914-918. https://doi.org/10.5713/ajas.17.0640
Wicaksono, A., & Herdiansyah, H. (2019). The impact analysis of flood disaster in DKI Jakarta: Prevention and control perspective. In International Conference Computer Science and Engineering. (Cat No. 012092) (Vol. 1339, pp. 1-6). https://doi.org/10.1088/1742-6596/1339/1/012092
Wiyanti, A., & Halimatussadiah, A. (2021). Are disasters a risk to regional fiscal balance? Evidence from Indonesia. International Journal of Disaster Risk Science, 12, 839-853. https://doi.org/10.1007/s13753-021-00374-2
Zain, A., Legono, D., Rahardjo, A.P., & Jayadi, R. (2021). Review on co-factors triggering flash flood occurrences in indonesian small catchments. In 4th International Conference of Water Resources Development and Environmental Protection. (Cat No. 012087) (Vol. 930, pp. 1-9). https://doi.org/10.1088/1755-1315/930/1/012087
Burnecki, K., & Giuricich, M.N. (2017). Stable weak approximation at work in index-linked catastrophe bond pricing. Risks, 5(4), 1–19. https://doi.org/10.3390/risks5040064
Carayannopoulos, P., & Perez, M.F. (2015). Diversification through catastrophe bonds: Lessons from the subprime financial crisis. The Geneva Papers, 40, 1-28. https://doi.org/10.1057/gpp.2014.14
Čepienė, E., Dailidytė, L., Stonevičius, E., & Dailidienė, I. (2022). Sea Level Rise Impact on Compound Coastal River Flood Risk in Klaipėda City (Baltic Coast, Lithuania). Water, 14(3), 414. https://doi.org/10.3390/w14030414
Chao, W., & Zou, H. (2018). Multiple-event catastrophe bond pricing based on CIR-Copula-POT model. Discrete Dynamics in Nature and Society, 2018(5068480), 1-9. https://doi.org/10.1155/2018/5068480
Chaubey, Y.P., Garrido, J., & Trudeau, S. (1998). On the computation of aggregate claims distributions: Some new approximations. Insurace: Mathematics and Economics, 23(3), 215-230. https://doi.org/10.1016/S0167-6687(98)00029-8
Cummins, J.D. (2008). CAT bonds and other risk-linked securities: State of the market and recent developments. Risk Management and Insurance Review, 11(1), 23–47. https://doi.org/10.1111/j.1540-6296.2008.00127.x
Cummins, J.D., & Weiss, M.A. (2009). Convergence of insurance and financial markets: Hybrid and securitised risk-transfer solutions. The Journal of Risk and Insurance, 76(3), 493–545. https://doi.org/10.1111/j.1539-6975.2009.01311.x
Dalimunthe, S.A. (2018). Rural Indonesian insight on mass media role in reducing climate change risk. Climate Change Management, 2, 61-67. https://doi.org/10.1007/978-3-319-70066-3_5
Dickson, D.C.M. (2005). Insurance Risk and Ruin. Cambridge: Cambridge University Press.
Gunardi, & Setiawan, E.P. (2015). Valuation of Indonesian catastrophic earthquake bonds with generalised extreme value (GEV) distribution and Cox-Ingersoll-Ross (CIR) interest rate model. In 2014 1st International Conference on Actuarial Science and Statistics (Cat No. 020024-1-020024-14) (Vol. 1692, pp 1-14). http://dx.doi.org/10.1063/1.4936452
Härdle, W.K., & Cabrera, B.L. (2010). Calibrating CAT bonds for Mexican earthquakes. The Journal of Risk and Insurance, 77(3), 625-650. https://doi.org/10.1111/j.1539-6975.2010.01355.x
Hengky, K., Putri, E.R.M., Imron, C., & Prastyo, D.D. (2021). In 2020 6th International Conference on Mathematics: Pure, Applied and Computation (Cat No. 012026) (Vol. 1821, pp. 1-11). https://doi.org/10.1088/1742-6596/1821/1/012026
Ibrahim, R.A., Sukono, & Napitupulu, H. (2022). Multiple-trigger catastrophe bond pricing model and its simulation using numerical methods. Mathematics, 10(9), 1363. https://doi.org/10.3390/math10091363
Jarrow, R.A. (2010). A simple robust model for CAT bond valuation. Finance Research Letters, 7(2), 72-70. https://doi.org/10.1016/j.frl.2010.02.005
Klugman, S.A., Panjer, H.H, & Willmot, G.E. (2008). Loss Models: From Data to Decisions, third ed. New York: Wiley.
Kurniawan, H., Putri, E. R., Imron, C., & Prastyo, D. D. (2021, March). Monte Carlo method to valuate CAT bonds of flood in Surabaya under jump diffusion process. In Journal of Physics: Conference Series (Vol. 1821, No. 1, p. 012026). IOP Publishing. https://doi.org/10.1088/1742-6596/1821/1/012026
Law, A.M., & Kelton, W.D. (2000). Simulation Modeling and Analysis, third ed. New York: McGraw Hill.
Loubergé, H., Kellezi, E., & Gilli, M. (1999). Using catastrophe-linked securities to diversify insurance risk: a financial analysis of CAT bonds. Journal of Insurance Issues, 22(2), 126–146. http://www.jstor.org/stable/41946177
Ma, Z.G., & Ma, C.Q. (2013). Pricing catastrophe risk bonds: A mixed approximation method. Insurance: Mathematics and Economics, 52(2), 243–254. https://doi.org/10.1016/j.insmatheco.2012.12.007
Nowak, P., & Romaniuk, M. (2013). Pricing and simulations of catastrophe bonds. Insurance: Mathematics and Economics, 52(1), 18-28. https://doi.org/10.1016/j.insmatheco.2012.10.006
Nowak, P., & Romaniuk, M. (2018). Valuing catastrophe bonds involving correlation and CIR interest rate model. Computational and Applied Mathematics, 37, 365-394. https://doi.org/10.1007/s40314-016-0348-2
Panjer, H.H., & Willmot, G.E., (1992). Insurance Risk Models. Schaumburg: Society of Actuaries.
Pauline, T. (2008). Flood in Jakarta: When the extreme reveals daily structural constrains and mismanagement. Disaster Prevention and Management, 17(3), 358-372. https://doi.org/10.1108/09653560810887284
Pollner, J. D. (2001). Managing catastrophic disaster risks using alternative risk financing and pooled insurance structures. Washington D.C.: World Bank Technical Paper.
Reijnen, R., Albers, W., & Kallenberg, W.C.M. (2005). Approximation of stop-loss reinsurance premiums. Insurance: Mathematics and Economics, 36(3), 237-250. https://doi.org/10.1016/j.insmatheco.2005.02.001
Ross, S. M. (1996). Stochastic Processes, second Edition. New Jersey: John Wiley and Sons, Inc.
Shao, J., Pantelous, A., & Papaioannou, A.D. (2015). Catastrophe risk bonds with applications to earthquakes. European Actuarial Journal, 5, 113-138. https://doi.org/10.1007/s13385-015-0104-9
Sholihah, Q., Kuncoro, W., Wahyuni, S., Suwandi, S.P., & Feditasari, E.L. (2020). The analysis of the causes of flood disasters and their impacts in the perspective of environmental law. In 2019 4th International Conference of Water Resources Development and Environmental Protection. (Cat No. 012056) (Vol. 437, pp. 1-7). https://doi.org/10.1088/1755-1315/437/1/012056
Siyamah, I., Putri, E.R.M., & Imron, C. (2021). Cat bond valuation using Monte Carlo and quasi-Monte Carlo method. In 2020 International Conference on Mathematics: Pure, Applied, and Computation. (Cat No. 012053) (Vol. 1821, pp. 1-10). https://doi.org/10.1088/1742-6596/1821/1/012053
Stephens, M.A. (1974). EDF statistics for goodness of fit and some comparisons. Journal of the American Statistical Association, 69(347), 730–737. https://doi.org/10.2307/2286009
Sukono, Juahir, H., Ibrahim, R.A., Saputra, M.P.A., Hidayat, Y., & Prihanto, I.G. (2022). Application of compound poisson process in pricing catastrophe bonds: A systematic literature review. Mathematics, 10(15), 2668. https://doi.org/10.3390/math10152668
Tabari, H. (2020). Climate change impact on flood and extreme precipitation increases with water availability. Scientific Reports, 10, 13768. https://doi.org/10.1038/s41598-020-70816-2
Tang, Q., & Yuan, Z. (2019). CAT bond pricing under a product probability measure with POT risk characterisation. ASTIN Bulletin, 49(2), 457–490. https://doi.org/10.1017/asb.2019.11
Tse, Y.K. (2009). Nonlife Actuarial Models: Theory, Models and Evaluation. Cambridge: Cambridge University Press.
Vaugirard, V.E. (2003). Pricing catastrophe bonds by arbitrage approach. The Quarterly Review of Economics and Finance, 43(1), 119-132. https://doi.org/10.1016/S1062-9769(02)00158-8
Watanabe, G., Motoyama, M., Nakajima, I., & Sasaki, K. (2018). Relationship between water-holding capacity and intramuscular fat content in Japanese commercial pork loin. Asian-Australasian Journal of Animal Sciences, 31(6), 914-918. https://doi.org/10.5713/ajas.17.0640
Wicaksono, A., & Herdiansyah, H. (2019). The impact analysis of flood disaster in DKI Jakarta: Prevention and control perspective. In International Conference Computer Science and Engineering. (Cat No. 012092) (Vol. 1339, pp. 1-6). https://doi.org/10.1088/1742-6596/1339/1/012092
Wiyanti, A., & Halimatussadiah, A. (2021). Are disasters a risk to regional fiscal balance? Evidence from Indonesia. International Journal of Disaster Risk Science, 12, 839-853. https://doi.org/10.1007/s13753-021-00374-2
Zain, A., Legono, D., Rahardjo, A.P., & Jayadi, R. (2021). Review on co-factors triggering flash flood occurrences in indonesian small catchments. In 4th International Conference of Water Resources Development and Environmental Protection. (Cat No. 012087) (Vol. 930, pp. 1-9). https://doi.org/10.1088/1755-1315/930/1/012087