Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making

DOI10.1007/s00500-015-1957-1zbMath1409.91246OpenAlexW2288248121WikidataQ59608741 ScholiaQ59608741MaRDI QIDQ1701739

Peng Zhang

Publication date: 27 February 2018

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-015-1957-1

zbMATH Keywords

stochastic processesfuzzy numbersVasicek modelMonte-Carlo simulationscatastrophe bondsautomated decision making

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Decision theory (91B06) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy probability (60A86)

Related Items (5)

Pricing of minimum guarantees in life insurance contracts with fuzzy volatility ⋮ Vasicek model with mixed-exponential jumps and its applications in finance and insurance ⋮ Multiple-event catastrophe bond pricing based on CIR-copula-POT model ⋮ Interval-based, nonparametric approach for resampling of fuzzy numbers ⋮ Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure

Uses Software

• Ziggurat
• rnorrexp

Cites Work

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