Pricing and simulating catastrophe risk bonds in a Markov-dependent environment

DOI10.1016/J.AMC.2017.03.041zbMath1411.91581OpenAlexW2605549666MaRDI QIDQ1738100

Apostolos D. Papaioannou, Jia Shao, Athanasios A. Pantelous

Publication date: 29 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2017.03.041

zbMATH Keywords

Monte Carlo simulationcatastrophe risk bondMarkov-dependent environmentpricing CAT bond

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing American options under Azzalini Ito-McKean skew Brownian motions ⋮ Analysis of an aggregate loss model in a Markov renewal regime

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