Pricing and simulating catastrophe risk bonds in a Markov-dependent environment (Q1738100)
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scientific article; zbMATH DE number 7045349
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| English | Pricing and simulating catastrophe risk bonds in a Markov-dependent environment |
scientific article; zbMATH DE number 7045349 |
Statements
Pricing and simulating catastrophe risk bonds in a Markov-dependent environment (English)
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29 March 2019
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catastrophe risk bond
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Markov-dependent environment
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Monte Carlo simulation
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pricing CAT bond
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0.8860388398170471
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0.8530403971672058
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0.8461151719093323
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0.8308489322662354
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0.8290055990219116
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