A Model for Earthquake Swap Pricing and Its Sensitivity Analysis in Iran

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Mahmoudpour Nasrollah; NEISY ABODOLSADEH; PEYMANY MOSLEM

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:10 | Issue:41 Page(s): 433-455

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Title

A Model for Earthquake Swap Pricing and Its Sensitivity Analysis in Iran

Author(s)

Mahmoudpour Nasrollah | NEISY ABODOLSADEH | PEYMANY MOSLEM | Issue Writer Certificate

Keywords

Catastrophe Swap PricingQ1

Sensitivity analysisQ2

Earthquake loose in IranQ1

finite difference methodQ1

Abstract

In recent years, increasing economic losses as a result of natural disasters are one of the main challenges fronting the insurance industry and researchers to discover original financial instruments so as to transmit disaster risks and minimize economic losses. In the present article, a model is suggested for Catastrophe Swap Pricing with deterministic loss fluctuations in order to decrease the risk of insurance and reinsurance companies in Iran. The research is retrospective and applied; the data collection method is the library, and for the data collection use the documents. For the full data extraction, the correlation method is applied, For the purpose of extracting the complete data, the correlation method is used, all damages of earthquakes that have been fatal, destructive and affecting in the period 1927 to 2018 in Iran, have been investigated. The probability of the deterministic loss occurrence and severity are regarded to be Brownian motion of jump-diffusion. The extracted integral-differential model is converted into the standard differential one, and the answers are estimated via finite difference method and Matlab software. The changes to the suggested model are explored through the Lambda Sensitivity analysis. As a final point, the model is implemented with real data of earthquake losses in Iran, which is extracted from the EM-DAT database and the regression results. Based on the results of the study, the price of catastrophe swap securities for less loss than the threshold has regular upward trend; however, once loss reached and passed the threshold, prices will drop dramatically.

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APA: Copy

Mahmoudpour, Nasrollah, NEISY, ABODOLSADEH, & PEYMANY, MOSLEM. (2020). A Model for Earthquake Swap Pricing and Its Sensitivity Analysis in Iran. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 10(41 ), 433-455. SID. https://sid.ir/paper/406684/en

Vancouver: Copy

Mahmoudpour Nasrollah, NEISY ABODOLSADEH, PEYMANY MOSLEM. A Model for Earthquake Swap Pricing and Its Sensitivity Analysis in Iran. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;10(41 ):433-455. Available from: https://sid.ir/paper/406684/en

IEEE: Copy

Nasrollah Mahmoudpour, ABODOLSADEH NEISY, and MOSLEM PEYMANY, “A Model for Earthquake Swap Pricing and Its Sensitivity Analysis in Iran,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 10, no. 41 , pp. 433–455, 2020, [Online]. Available: https://sid.ir/paper/406684/en

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