Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
type: Item
instance of: scholarly article
title: Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
zbMATH Open document ID: 1411.91581
author: Jia Shao
author: Apostolos D. Papaioannou
author: Athanasios A. Pantelous
published in: Applied Mathematics and Computation
publication date: 2019-03-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7045349
zbMATH Keywords: catastrophe risk bond
zbMATH Keywords: Markov-dependent environment
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: pricing CAT bond
MaRDI profile type: Publication
full work available at URL: j.amc.2017.03.041
OpenAlex ID: W2605549666
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DOI: 10.1016/J.AMC.2017.03.041
description: scientific article; zbMATH DE number 7045349