CAT Bonds Spread , Meteorological Index and Catastrophe Forecast

• Main Authors: Zheng, Gao-Xiang, 鄭高祥
• Other Authors: Yu, Min-Teh
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/r9c238

碩士 === 國立交通大學 === 財務金融研究所 === 105 === Due to the fact that meteorologists’ catastrophe forecast lacks the dynamic influence of human activities, plus the meteorological data updated monthly or weekly, traditional catastrophe forecast method may be inaccurate in forecasting catastrophe. Meanwhile, financial institutions usually hire meteorologists advise meteorological derivatives issuance and trading, and then make decisions according to various information. Therefore, we want to survey whether the spread of catastrophe bonds can provide extra useful information in catastrophe forecast. We use Poisson Regression or Negative Binomial Regression to analyze whether catastrophe bonds’ spread can provide extra information in forecasting catastrophe frequency. Likewise, we use Exponential Regression to explore the whether CAT bonds’ spread can provide extra information in forecasting catastrophe severity. According to our research, we find spread can remarkably provide extra information in forecasting earthquake frequency and financial losses of wind and earthquake. Besides, spread has trivial impact on forecasting total loss of wind an-d earthquake. However，spread fails to forecast the frequency of wind and the total frequency of wind and earthquake.