A Bayesian valuation framework for catastrophe bonds

DOI10.1093/JRSSSC/QLAE041MaRDI QIDQ7007979zbMATH OpenFDO

Authors Arpita Chatterjee, Matthew F. Dixon

Publication date 25 March 2025

Published in Journal of the Royal Statistical Society. Series C. Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/JRSSSC/QLAE041

zbMATH Keywords

aggregate claim amountcatastrophe bondsclimate changecollective risk modelderivative pricing

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites work

• A Bayesian analysis of some nonparametric problems
• A flexible Bayesian nonparametric model for predicting future insurance claims prediction
• Bayesian nonparametric data analysis
• Catastrophe Risk Bonds
• Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
• Hierarchical Bayesian collective risk model: an application to health insurance
• Hierarchical insurance claims modeling
• scientific article; zbMATH DE number 774881 (Why is no real title available?)
• Option pricing when underlying stock returns are discontinuous
• Pricing catastrophe risk bonds: a mixed approximation method
• Pricing longevity risk with the parametric bootstrap: a maximum entropy approach
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS

Cited in

(1)

• Catastrophe bond pricing under the renewal process

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