Catastrophe risk bonds with applications to earthquakes

DOI10.1007/S13385-015-0104-9zbMath1329.91076OpenAlexW1975734822MaRDI QIDQ2356239

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

Publication date: 29 July 2015

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-015-0104-9

zbMATH Keywords

earthquakesextreme value theoryequilibrium pricingCalifornia dataCAT risk bonds

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ Multiple-event catastrophe bond pricing based on CIR-copula-POT model ⋮ Pricing and simulating catastrophe risk bonds in a Markov-dependent environment ⋮ Statistical and machine learning approaches for the minimization of trigger errors in parametric earthquake catastrophe bonds ⋮ Data Breach CAT Bonds: Modeling and Pricing

Uses Software

• ismev

Cites Work

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