  The constantly expanding frequency and loss affected by natural disasters
pose a severe challenge to the traditional catastrophe insurance market. This
paper aims to develop an innovative framework of pricing catastrophic bonds
triggered by multiple events with extreme dependence structure. Given the low
contingency of the bond's cash flows and high return, the multiple-event CAT
bond may successfully transfer the catastrophe risk to the big financial
markets meeting the diversification of capital allocations for most potential
investors. The designed hybrid trigger mechanism helps reduce moral hazard and
improve bond attractiveness with CIR stochastic rate, displaying the
co-movement of the wiped-off coupon, payout principal, the occurrence and
intensity of the natural disaster involved. As different triggered indexes of
multiple-event catastrophic bonds are heavy-tailed with a variety of dependence
relationship, nested Archimedean copulas are introduced with marginal
distributions modeled by POT-GP distribution for excess data and common
parametric models for moderate risks. To illustrate our theoretical pricing
framework, we consider a three-event rainstorm CAT bond triggered by
catastrophic property losses, in China during 2006--2020. Monte Carlo
simulations are conducted for the sensitivity analysis of the rainstorm CAT
bond price is also in trigger attachment levels, maturity date, catastrophe
intensity, and numbers of trigger indicators.
