GNGTS 2021 - Atti del 39° Convegno Nazionale

287 GNGTS 2021 S essione 2.2 structures with 3+ stories, ( vii ) gravity load designed masonry-RC structures, ( viii ) seismic load designed masonry-RC structures. The exposure model of the national residential building stock is defined at municipality-level granularity and data are retrieved from the 15 th census database of the National Institute of Statistics. Fig. 1b and 1c illustrates 100’000 years of simulated seismicity for the seismogenic zone 905. For the calibration of the three sets of distributions parameters, earthquakes occurred inside each CAT bond zone border were then selected. Fig. 1d shows the selected events for each zone, resulting in 126’414 in Zone 1, 151’245 in Zone 2 and 38’380 in Zone 3. Among the three, Zone 2 has the highest intensity since more events occur in it, in the same time window. Lognormal CDFs were fitted on the cumulative losses to obtain the loss distribution parameters for each zone (Fig. 1e). In the present work, CAT bond price is evaluated at time t = 0, assuming a principal equal to 1 €. Two different products were considered for the pricing, a zero-coupon and a coupon CAT bond, both with a full loss of the principal in case of bond triggering. In the first case, the zero-coupon CAT bond is assumed to be priced at 3.5% over LIBOR so that if no trigger event occurs, the total yield is 6%, and consequently Z = 1.06 €. For the coupon CAT bond, the yearly coupon payments C(s) = 0.06 € and Z = 1.00 € are considered. A continuous discount rate r equivalent to LIBOR = 2.5% is assumed constant and equal to ln (1.025) (Burnecki et al. 2005). Expiration time and threshold Fig. 2 - Failure probability P f surface for the three Zones.