CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION
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Publication:5379415
DOI10.1017/asb.2019.11zbMath1410.91288OpenAlexW2940603490WikidataQ127969377 ScholiaQ127969377MaRDI QIDQ5379415
Publication date: 29 May 2019
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2019.11
distortionextreme value theorypricinggeneralized Pareto distributionproduct measureearthquakepeaks over thresholdCAT bond
Extreme value theory; extremal stochastic processes (60G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
A simple Bayesian state-space approach to the collective risk models ⋮ Pricing extreme mortality risk in the wake of the COVID-19 pandemic ⋮ Indifference pricing of insurance-linked securities in a multi-period model ⋮ Data Breach CAT Bonds: Modeling and Pricing
Uses Software
Cites Work
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