Multiple-event catastrophe bond pricing based on CIR-copula-POT model

DOI10.1155/2018/5068480zbMath1422.91332OpenAlexW2809822752WikidataQ129649118 ScholiaQ129649118MaRDI QIDQ1727134

Wen Chao, Hui Wen Zou

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/5068480

Mathematics Subject Classification ID

Cites Work

• Indifference prices of structured catastrophe (CAT) bonds
• Statistical inference using extreme order statistics
• Using copulae to bound the value-at-risk for functions of dependent risks
• Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making
• Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
• Catastrophe risk bonds with applications to earthquakes
• Valuation of catastrophe reinsurance with catastrophe bonds
• Pricing catastrophe risk bonds: a mixed approximation method
• A Theory of the Term Structure of Interest Rates
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds

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