Pricing catastrophe risk bonds: a mixed approximation method

DOI10.1016/j.insmatheco.2012.12.007zbMath1284.91551OpenAlexW2062864017MaRDI QIDQ2442520

Zonggang Ma, Chao-Qun Ma

Publication date: 3 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.12.007

zbMATH Keywords

stochastic interest ratescatastrophe risk bondscompound nonhomogeneous Poisson processmixed approximation methodPCS loss

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application ⋮ Valuing catastrophe bonds involving correlation and CIR interest rate model ⋮ The Optimal Write-Down Coefficients in a Percentage for a Catastrophe Bond ⋮ Estimating a tail of the mixture of log-normal and inverse Gaussian distribution ⋮ Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model ⋮ Cyber loss distribution fitting: a general framework towards cyber bonds and their pricing models ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ Valuing catastrophe bonds involving credit risks ⋮ Multiple-event catastrophe bond pricing based on CIR-copula-POT model ⋮ Pricing and simulating catastrophe risk bonds in a Markov-dependent environment ⋮ Valuation of contingent convertible catastrophe bonds -- the case for equity conversion ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds ⋮ Unnamed Item

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