Ezra Putranda Setiawan, Dhoriva Urwatul Wutsqa, Agus Maman Abadi
Earthquake catastrophe bonds (cat bonds) are important instruments for transferring the financial risk of catastrophes, especially earthquakes, into the stock market. Hardle and Cabrera introduced such types of catastrophe bonds in 2010 by applying the double-stochastic Poisson Process to model the inter-occurrence times of earthquakes in the Mexican area. In this study, we conducted a literature survey to list and compare several models of inter-occurrence times of earthquakes. We use literature in the form of journal articles and proceedings written in English, indexed by Google Scholar and Scopus. As the topic is relatively new, we include all models for inter-occurrence times of earthquakes regardless of whether they had been applied in pricing earthquake catastrophe bonds. In general, we find that there are several models for the inter-occurrence time of earthquakes that can be separated into two groups, namely (1) univariate continuous random variable models, and (2) stochastic process-based model. Further research can be arranged to develop earthquake catastrophe bond based on these models. © 2024 Author(s).
Departments of Mathematics Education, Faculty of Mathematics and Natural Science, Universitas Negeri Yogyakarta, Indonesia
