Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
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Publication:2273992
DOI10.1016/j.insmatheco.2019.07.006zbMath1425.91215arXiv1804.07997OpenAlexW2969181752MaRDI QIDQ2273992
Zbigniew Palmowski, Krzysztof Burnecki, Mario Nicoló Giuricich
Publication date: 19 September 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.07997
risk neutral measurecatastrophe riskheavy-tailed datacontingent convertible bondlongstaff modeltime-inhomogeneous compound Poisson process
Related Items (4)
Poisson-Gamma mixture processes and applications to premium calculation ⋮ Perpetual cancellable American options with convertible features ⋮ Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions ⋮ Catastrophic risks and the pricing of catastrophe equity put options
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