The Optimal Write-Down Coefficients in a Percentage for a Catastrophe Bond

DOI10.1080/10920277.2017.1283236zbMath1393.91102OpenAlexW2609002022MaRDI QIDQ4567957

Xiaoli Zhang, Cary Chi-Liang Tsai

Publication date: 20 June 2018

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2017.1283236

zbMATH Keywords

pricing formulacatastrophe bondcatastrophe riskhedge effectiveness rateoptimal write-down coefficient

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Indifference prices of structured catastrophe (CAT) bonds
• Pricing and simulations of catastrophe bonds
• Valuation of catastrophe reinsurance with catastrophe bonds
• Pricing catastrophe risk bonds: a mixed approximation method
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Measuring Basis Risk in Longevity Hedges
• Valuing catastrophe bonds by Monte Carlo simulations
• Pricing of zero-coupon and coupon cat bonds
• A Linear Regression Approach to Modeling Mortality Rates of Different Forms
• Catastrophe Risk Bonds
• Longevity Risk and Capital Markets: The 2012–2013 Update

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