报 告 人：徐茂超 教授
报告题目: Crypto Risk Resilience: Leveraging CAT Bonds for Catastrophe Mitigation
报告时间：2025年6月4日（周三）下午14:00-15:00
报告地点：泉山校区6号楼105
主办单位：数学与统计学院、数学研究院、科学技术研究院
报告人简介：
徐茂超博士于2010年在美国波特兰州立大学获得统计学博士学位，现为伊利诺伊州立大学数学系终身教授，同时担任英国网络风险评估公司Rankiteo人工智能部门 Head。近年来主要开展基于统计方法的网络安全风险评估和治理研究，相关研究成果发表于Annals of Applied Statistics, Technometrics，IEEE Transactions on Information Forensics and Security，IISE Transactions 等国际著名期刊。研究曾获伊利诺伊州立大学杰出研究奖和Janice Witherspoon Neuleib 研究奖，北美精算师协会最佳论文奖，以及应用统计杂志最佳论文推荐奖等。徐教授还曾担任美国网络安全公司CouldCover，美国网络风险评估公司Safe Security以及新加坡虚拟货币保险公司InsurAce的学术顾问。
报告摘要：
Cryptocurrencies have experienced substantial losses from hacking incidents in recent years, prompting the need for innovative risk transfer mechanisms. This opens the door for the use of catastrophe (CAT) bonds—not only as insurance instruments but also as novel financial products for crypto-oriented investors. In this talk, we present a framework for designing and pricing cryptocurrency CAT bonds. We propose a bivariate trigger mechanism and develop a multi-period pricing model, employing simulation techniques to evaluate bond prices and investor returns. Our results demonstrate the potential for attractive yields, while also quantifying the level of bond issuance required to support insurers in this emerging domain. Furthermore, we explore how blockchain technology can facilitate the deployment and transparency of such CAT bonds. This work lays a theoretical foundation for integrating catastrophe risk transfer with the decentralized finance ecosystem, offering insurers new strategies for managing systemic crypto risks.