The constantly expanding frequency and loss affected by natural disasters pose a severe challenge to the traditional catastrophe insurance market. This paper aims to develop an innovative framework of pricing catastrophic bonds triggered by multiple events with extreme dependence structure. Given the low contingency of the bond's cash flows and high return, the multiple-event CAT bond may successfully transfer the catastrophe risk to the big financial markets meeting the diversification of capital allocations for most potential investors. The designed hybrid trigger mechanism helps reduce moral hazard and improve bond attractiveness with CIR stochastic rate, displaying the co-movement of the wiped-off coupon, payout principal, the occurrence and intensity of the natural disaster involved. As different triggered indexes of multiple-event catastrophic bonds are heavy-tailed with a variety of dependence relationship, nested Archimedean copulas are introduced with marginal distributions modeled by POT-GP distribution for excess data and common parametric models for moderate risks. To illustrate our theoretical pricing framework, we consider a three-event rainstorm CAT bond triggered by catastrophic property losses, in China during 2006--2020. Monte Carlo simulations are conducted for the sensitivity analysis of the rainstorm CAT bond price is also in trigger attachment levels, maturity date, catastrophe intensity, and numbers of trigger indicators.

翻译：自然灾害频发且损失持续扩大，对传统巨灾保险市场构成严峻挑战。本文旨在构建一个具有极端相依结构的多事件触发巨灾债券定价创新框架。鉴于债券现金流的低偶然性与高收益特性，多事件巨灾债券可成功将巨灾风险转移至大型金融市场，满足多数潜在投资者资本配置多元化的需求。所设计的混合触发机制通过引入CIR随机利率，有助于降低道德风险并提升债券吸引力，同时揭示票息削减、本金偿付、自然灾害发生频次与强度之间的协同变动关系。针对多事件巨灾债券不同触发指标存在的厚尾特征及多样化的相依关系，本文引入嵌套阿基米德Copula，其中边缘分布采用POT-GP分布刻画极端数据，以常规参数模型描述中等风险。为阐释理论定价框架，我们以中国2006-2020年间由巨灾财产损失触发的三事件暴雨巨灾债券为例，通过蒙特卡洛模拟对暴雨巨灾债券价格进行敏感性分析，考察触发附着水平、到期日、巨灾强度及触发指标数量等因素的影响。