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In recent years, the frequent occurrence of natural disasters and the increasing losses have made the traditional insurance and reinsurance markets insufficient in underwriting capacity. An alternative method for covering these losses is to transfer part of the catastrophic losses to financial market by issuing catastrophe-linked bonds. In this paper, we proposed a contingent claim model for pricing catastrophe risk bonds in a stochastic interest rate environment with the aggregate claimsdoi:10.12783/dtetr/mcaee2020/35088 fatcat:ri53h3u5tjhp3cwtguhzddcini