Abstract: In order to describe the memory characteristics of the occurrence time interval of typhoon storm surge in China，the compound fractional Poisson model，was adopted to describe the risk of typhoon storm surge and to study the pricing problem of typhoon storm surge bonds. Based on the Monte Carlo simulation method，the probability solution of cumulative loss distribution was obtained，and the price problem of typhoon storm surge disaster bonds in China was given by Wang two factor pricing model. The results showed that with the increase of maturity，the bond price tended to decrease，increase first and then decrease，or increase monotonously，which was closely related to memory parameters. It provides theoretical support for the more accurate assessment of typhoon storm surge catastrophe risk and the scientific pricing of bonds in China.

Key words: Mittag-Leffler distribution, compound fractional Poisson process, Monte Carlo simulation, typhoon storm surge bond