Abstract Catastrophe bonds (CAT bonds) are risk-linked securities used by the insurance industry to transfer risks associated with the occurrence of natural disasters to the capital markets. Despite their growing importance, connected with the higher exposures to potential natural disasters, relatively few studies on CAT bond pricing, design and their application are available in the literature. In particular, the existing pricing formulations for pricing analysis do not account for uncertainties in model parameters and are not contextualized in a more general CAT bond coverage design procedure for an area of interest. For these reasons, this paper presents a general procedure for designing a CAT bond-based coverage for a spatially distributed portfolio against losses due to natural hazards, accounting also for model parameters uncertainties in CAT bond pricing process. The procedure is then applied to a case study represented by the residential building portfolio in Italy, proposing an ad-hoc CAT bond-based coverage against losses induced by earthquake occurrences, defined on the basis of the most recent version of the seismic risk map of Italy currently proposed in scientific literature.

中文翻译：

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空间分布投资组合的基于风险的巨灾债券设计

摘要 巨灾债券（CAT债券）是保险业用来将自然灾害发生相关风险转移到资本市场的风险挂钩证券。尽管它们越来越重要，并且与潜在自然灾害的风险增加有关，但文献中关于 CAT 债券定价、设计及其应用的研究相对较少。特别是，用于定价分析的现有定价公式没有考虑模型参数的不确定性，也没有在更一般的 CAT 债券覆盖率设计程序中用于感兴趣的领域。出于这些原因，本文提出了为空间分布的投资组合设计基于 CAT 债券的保险以应对自然灾害造成的损失的一般程序，还考虑了 CAT 债券定价过程中模型参数的不确定性。然后将该程序应用于以意大利住宅建筑投资组合为代表的案例研究，提出基于 CAT 债券的临时保险，以应对地震引起的损失，根据最新版本的地震风险图进行定义。意大利目前在科学文献中提出。