Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making

DOI10.1007/s00500-015-1957-1zbMath1409.91246WikidataQ59608741 ScholiaQ59608741MaRDI QIDQ1701739

Peng Zhang

Publication date: 27 February 2018

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-015-1957-1

zbMATH Keywords

stochastic processes; fuzzy numbers; Vasicek model; Monte-Carlo simulations; catastrophe bonds; automated decision making

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91B06: Decision theory

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

60A86: Fuzzy probability

Uses Software

• Ziggurat
• rnorrexp