Zhengru Tao

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Catastrophe bond (CAT bond) is one of the most active instruments to transfer catastrophic risk into the capital market around the whole world. And the pricing theories are developed recently. For earthquake disaster, a pricing model, base on engineering seismic risk assessment, is given. The occurring probability of a defined earthquake catastrophe,(More)
  • Zhengru Tao
  • 2011
In order to spread catastrophic risk further in the capital market, the relation between these two parts is analyzed. Beta values of index returns between CAT bonds and the stock and bonds markets in US and Europe are calculated in the period covering the global financial crisis, which can be approximated to zero. By taking this kind of assets into a market(More)
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