Pricing catastrophe risk bonds: a mixed approximation method
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Publication:2442520
DOI10.1016/j.insmatheco.2012.12.007zbMath1284.91551OpenAlexW2062864017MaRDI QIDQ2442520
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
stochastic interest ratescatastrophe risk bondscompound nonhomogeneous Poisson processmixed approximation methodPCS loss
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (13)
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