Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds

DOI10.2143/AST.37.1.2020804zbMath1162.91448OpenAlexW3141713146MaRDI QIDQ3632835

Nikolaos E. Frangos, Athanasios A. Pantelous, Alexandros A. Zimbidis

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.37.1.2020804

Mathematics Subject Classification ID

Related Items (12)

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 ⋮ 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 ⋮ Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds ⋮ ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING ⋮ Statistical and machine learning approaches for the minimization of trigger errors in parametric earthquake catastrophe bonds ⋮ AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES ⋮ Robust quantile estimation under bivariate extreme value models ⋮ Data Breach CAT Bonds: Modeling and Pricing ⋮ Catastrophe risk bonds with applications to earthquakes

Cites Work

• Sur la distribution limite du terme maximum d'une série aléatoire
• Maximum likeiihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples
• Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
• PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

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