PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE
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...
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| Format: | Theses and Dissertations NonPeerReviewed |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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| Online Access: | https://repository.ugm.ac.id/133686/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74453 |
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id-ugm-repo.1336862016-03-04T07:57:26Z https://repository.ugm.ac.id/133686/ PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE , IPUNG SETIAWAN , Dr. Gunardi, M.Si. ETD 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. [Yogyakarta] : Universitas Gadjah Mada 2014 Thesis NonPeerReviewed , IPUNG SETIAWAN and , Dr. Gunardi, M.Si. (2014) PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74453 |
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ETD , IPUNG SETIAWAN , Dr. Gunardi, M.Si. PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE |
| description |
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. |
| format |
Theses and Dissertations NonPeerReviewed |
| author |
, IPUNG SETIAWAN , Dr. Gunardi, M.Si. |
| author_facet |
, IPUNG SETIAWAN , Dr. Gunardi, M.Si. |
| author_sort |
, IPUNG SETIAWAN |
| title |
PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE |
| title_short |
PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE |
| title_full |
PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE |
| title_fullStr |
PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE |
| title_full_unstemmed |
PENENTUAN HARGA OBLIGASI RISIKO BENCANA DENGAN METODE MARTINGALE |
| title_sort |
penentuan harga obligasi risiko bencana dengan metode martingale |
| publisher |
[Yogyakarta] : Universitas Gadjah Mada |
| publishDate |
2014 |
| url |
https://repository.ugm.ac.id/133686/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74453 |
| _version_ |
1681233728209158144 |