Valuation of contingent convertible catastrophe bonds -- the case for equity conversion (Q2273992)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7107056
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Valuation of contingent convertible catastrophe bonds -- the case for equity conversion |
scientific article; zbMATH DE number 7107056 |
Statements
Valuation of contingent convertible catastrophe bonds -- the case for equity conversion (English)
0 references
19 September 2019
0 references
catastrophe risk
0 references
contingent convertible bond
0 references
time-inhomogeneous compound Poisson process
0 references
longstaff model
0 references
risk neutral measure
0 references
heavy-tailed data
0 references
0 references
0.7925631403923035
0 references
0.782772958278656
0 references
0.7779017090797424
0 references
0.7719173431396484
0 references
0.7692531943321228
0 references
