PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE

Abstract

Catastrophe risk bond is an alternative important of financial instruments and significant in transferring catastrophe risk to the capital markets. CAT Bond created as a complement to the traditional insurance or reinsurance contract in funding due to the risk of the catastrophe event. An important parameter in all pricing models of CAT Bond is a probability of the catastrophe. The catastrophe events are assumed to follow the Poisson process. First, we derive a zero coupon bond pricing formula in a stochastic interest rate of CIR model with martingale method as instruments of pricing CAT Bond