Pricing catastrophe bonds with multistage stochastic programming

DOI10.1007/S10287-017-0277-6MaRDI QIDQ1789618zbMATH OpenOpenAlexFDO

Authors Nick Georgiopoulos

Publication date 10 October 2018

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-017-0277-6

zbMATH Keywords

catastrophe bondsinsurance linked securitiesreinsurancestochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Pricing and simulations of catastrophe bonds
• Pricing of catastrophe bond in fuzzy framework
• Catastrophe Risk Bonds
• Valuing catastrophe bonds involving credit risks
• Pricing of zero-coupon and coupon cat bonds

Cites work

• scientific article; zbMATH DE number 663895 (Why is no real title available?)
• Insurance risk and ruin.
• Introduction to stochastic programming.
• Optimization approaches to multiplicative tariff of rates estimation in non-life insurance
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Stochastic time changes in catastrophe option pricing

Cited in

(5)

• Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
• Pricing of catastrophe bond in fuzzy framework
• scientific article; zbMATH DE number 2020182 (Why is no real title available?)
• Imprecise Approaches to Analysis of Insurance Portfolio with Catastrophe Bond
• Indifference prices of structured catastrophe (CAT) bonds

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