%0 Journal Article
%T The Calculation of Optimal Interest Rate of Fire Insurance Catastrophe Bonds in Iran using Extreme Value Theory
%J Financial Research Journal
%I University of Tehran
%Z 1024-8153
%A Gorgani, Mostafa
%A Asl Hadad, Ahmad
%A Shahriar, Behnam
%D 2012
%\ 07/22/2012
%V 14
%N 1
%P 101-116
%! The Calculation of Optimal Interest Rate of Fire Insurance Catastrophe Bonds in Iran using Extreme Value Theory
%K Catastrophe Bonds
%K Value at Risk
%K Generalized Pareto Distribution
%K Normal Power Distribution
%K Bootstrap Simulation
%R 10.22059/jfr.2012.36637
%X In recent decades, issuing of Catastrophe Bonds for covering the catastrophe losses such as earthquakes, floods, etc. are getting more widespread. The purpose of this paper is determination of the optimal interest rates for investors of these securities, so that it becomes attractive for them. This paper uses fire insurance data in the period of 1328 to 1388 and considers the Peaks over Threshold (POT) for measuring the catastrophe bonds value at risk. The u threshold has been selected with using normal power approximation, and the difference between it and the VaR higher than this threshold has been considered as catastrophe bonds risk. Finally, the optimal rate for these bonds, with maturity of 3 years and in 1000 nominal value of the currency, is calculated to 21.52%.
%U https://jfr.ut.ac.ir/article_36637_48b9b865711b2ad49d29d894d611c11c.pdf