标题： 多区域CoCoCat债券的设计与估值 显示英文标题

标题： Design and valuation of multi-region CoCoCat bonds

摘要： 本文介绍了一种新型的多维保险关联工具：一种或有可转换债券（CoCoCat债券），其转换触发机制由多个地理区域的预定自然灾害激活。 我们开发了这种模型，明确考虑了区域灾害损失之间的复杂依赖关系。 具体而言，我们探讨了从完全独立到比例损失依赖的各种情景，包括固定和随机损失金额。 利用测度变换技术，我们推导出了针对这些不同依赖结构的风险中性定价公式。 通过将我们的模型拟合到财产索赔服务的真实自然灾害数据，我们展示了区域间依赖性对CoCoCat债券定价的重要影响，突出了对这一创新金融工具进行多维风险评估的重要性。 显示英文摘要

摘要： This paper introduces a novel multidimensional insurance-linked instrument: a contingent convertible bond (CoCoCat bond) whose conversion trigger is activated by predefined natural catastrophes across multiple geographical regions. We develop such a model explicitly accounting for the complex dependencies between regional catastrophe losses. Specifically, we explore scenarios ranging from complete independence to proportional loss dependencies, both with fixed and random loss amounts. Utilizing change-of-measure techniques, we derive risk-neutral pricing formulas tailored to these diverse dependence structures. By fitting our model to real-world natural catastrophe data from Property Claim Services, we demonstrate the significant impact of inter-regional dependencies on the CoCoCat bond's pricing, highlighting the importance of multidimensional risk assessment for this innovative financial instrument.