A catastrophe shock model and the bond pricing

DOI10.3724/SP.J.1249.2021.02208zbMath1474.91165MaRDI QIDQ4996190

Jiesong Zhang

Publication date: 1 July 2021

Published in: Journal of Shenzhen University Science and Engineering (Search for Journal in Brave)

zbMATH Keywords

generalized Pareto distributioncatastrophe riskmoment matching methodfractional compound Poisson processinsurance bond

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

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