The securitization of catastrophe risk can effectively transfer catastrophe risk to the capital market. This paper proposes an innovative financial product called convertible catastrophe bond that combines catastrophe bonds with convertible bonds. The pricing model of convertible catastrophe bond is established using the data of earthquake catastrophe. Due to the existence of catastrophe risk transfer mechanism, the bankruptcy rate of issuer is greatly influenced. The change in the bankruptcy rate will affect the price of the embedded options, which therefore influences the price of convertible catastrophe bonds. The pricing mechanism includes three steps: the pricing of traditional catastrophe bonds, the bankruptcy rate before and after the catastrophe risk transfer, and the introduction of the new bankruptcy rate into the calculation of embedded option price. Finally, this paper puts forward policy proposals to promote the development of convertible catastrophe bonds.