Abstract: Catastrophe bond (Cat bond) can be used to hedging catastrophe risks while it is also a kind of high return rate zero-beta bond. Multi-event triggered Cat bond can only be triggered when two or more indexes are met at the same time, making it of lower risks comparing to those single-event triggered ones. In order to pricing a two indexes triggered Cat bond, firstly the joint distribution of indexes is fitted by using a Copula method. Then, based on representative agent pricing model under stochastic interest rates driven by Vasicek model,the pricing model is proposed. The impacts of interest rate on Cat bond's intertemporal pricing results can be measured properly in this way. The model proposed in this paper is a impetus to the pricing of multi-events triggered Cat bond considering stochastic interest rates and will help to understand how interest rates affect Cat bonds' prices.

Key words: Cat bonds, multi-events trigger, copula, stochastic interest rates