Valuation of contingent convertible catastrophe bonds -- the case for equity conversion (Q2273992)
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scientific article
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| English | Valuation of contingent convertible catastrophe bonds -- the case for equity conversion |
scientific article |
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Valuation of contingent convertible catastrophe bonds -- the case for equity conversion (English)
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19 September 2019
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catastrophe risk
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contingent convertible bond
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time-inhomogeneous compound Poisson process
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longstaff model
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risk neutral measure
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heavy-tailed data
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0.7925631403923035
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0.782772958278656
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0.7779017090797424
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0.7719173431396484
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0.7692531943321228
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