Research on Mathematics Discussed by Researchers at Universitas Padjadjaran (Multiple-Trigger Catastrophe Bond Pricing Model and Its Simulation Using Numerical Methods): Mathematics

2022 MAY 27 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- New research on mathematics is the subject of a new report. According to news reporting from Sumedang, Indonesia, by NewsRx journalists, research stated, “Investor interest in single-trigger catastrophe bonds (STCB) has the potential to decline in the future. It is triggered by the increasing trend of global catastrophe loss and intensity every year, which increases the probability that a claim of STCB will occur.”

The news editors obtained a quote from the research from Universitas Padjadjaran: “To increase investor interest again, the issuance of multiple-trigger catastrophe bonds (MTCB) can be one solution. However, to issue MTCB, its pricing is more complex because it involves more factors than STCB. Therefore, this study aims to design a simple MTCB pricing model. The claim trigger indices used are actual loss and fatality. Then, a nonhomogeneous compound Poisson process is used to model actual losses and fatalities aggregate to consider catastrophe intensity. In addition, this study proposes numerical methods, namely the continuous distribution approximation method and the Nuel recursive method, to facilitate the application of the model.”

According to the news editors, the research concluded: “Finally, an analysis of the effect of catastrophe intensity and other factors on MTCB prices is also presented. This study is expected to help special-purpose vehicles as MTCB issuers in MTCB pricing.”

For more information on this research see: Multiple-Trigger Catastrophe Bond Pricing Model and Its Simulation Using Numerical Methods. Mathematics, 2022,10(1363):1363. (Mathematics - http://www.mdpi.com/journal/mathematics). The publisher for Mathematics is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/math10091363.

Our news journalists report that additional information may be obtained by contacting Riza Andrian Ibrahim, Master of Mathematics Study Program, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, Indonesia. Additional authors for this research include Sukono, Herlina Napitupulu.

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