Application of Compound Poisson Process in Pricing Catastrophe Bonds: A Systematic Literature Review

The compound Poisson process (CPP) is often used in catastrophe risk modeling, for example, aggregate loss risk modeling. Hence, CPP can be involved in pricing catastrophe bonds (CAT bonds) because it requires a catastrophe risk modeling method. However, studies of how the application of CPP in pric...

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Published in:Mathematics (Basel) 2022-08, Vol.10 (15), p.2668
Main Authors: Sukono, Juahir, Hafizan, Ibrahim, Riza Andrian, Saputra, Moch Panji Agung, Hidayat, Yuyun, Prihanto, Igif Gimin
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Language:English
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bibliometric analysis
Bibliometrics
Capital markets
catastrophe bond
Catastrophes
Chemical bonds
compound Poisson process
Costs
Earthquakes
Food science
gap analysis
Literature reviews
Modelling
Poisson density functions
Pricing
Risk
Search engines
Software
systematic literature review
Systematic review
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cited_by cdi_FETCH-LOGICAL-c367t-168f64662adc057e1030ec395898dab4fad4a1c739fa296e2ae69556309e4a833
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Juahir, Hafizan
Ibrahim, Riza Andrian
Saputra, Moch Panji Agung
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Prihanto, Igif Gimin
description The compound Poisson process (CPP) is often used in catastrophe risk modeling, for example, aggregate loss risk modeling. Hence, CPP can be involved in pricing catastrophe bonds (CAT bonds) because it requires a catastrophe risk modeling method. However, studies of how the application of CPP in pricing CAT bonds is still scarce. Therefore, this study aims to conduct a systematic literature review (SLR) on how CPP is used in pricing CAT bonds. The SLR consists of three stages: the literature selection, bibliometric analysis, and gap analysis. At the literature selection stage, the 30 articles regarding the application of CPP in pricing CAT bonds are obtained. Then, the conceptual and nonconceptual structures of the articles are mapped at the bibliometric analysis stage. Finally, in the gap analysis stage, the application of CPP in pricing CAT bonds from the previous studies is analyzed, and new research opportunities are studied. This research can be a reference for researchers regarding the application of CPP in pricing CAT bonds and can motivate them to design more beneficial ways of pricing CAT bonds with CPP in the future.
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subjects bibliometric analysis
Bibliometrics
Capital markets
catastrophe bond
Catastrophes
Chemical bonds
compound Poisson process
Costs
Earthquakes
Food science
gap analysis
Literature reviews
Modelling
Poisson density functions
Pricing
Risk
Search engines
Software
systematic literature review
Systematic review
title Application of Compound Poisson Process in Pricing Catastrophe Bonds: A Systematic Literature Review
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