مشخصات پژوهش

Catastrophe bonds are among the essential instruments in providing a financial hedge for insurance companies and their policyholders. Catastrophic events are rare, and the shortage of data turns using probability theory indefensible. On the other hand, uncertainty theory is a reliable alternative to deal with these kinds of indeterminacies. We model the problem of pricing catastrophe bonds as an uncer-tain optimization problem where the maximization of the cedent insurance company’s profit is con-strained to the uncertain measure of ruin defined for the investors. Consequently, one could provide a tradeoff between being profitable for the ceding company and having reasonable protection for the investors. A solution to the optimization problem will be considered as the spread over the LIBOR, leading to a complete determination of the bond price. The results suggest the practicality of the mod-el, especially the application of uncertainty theory in pricing catastrophe bonds. Finally, the uncertain ruin index is calculated for a real-world problem, and the results are compared with those obtained by probability theory.