Valuing catastrophe bonds involving credit risks

DOI10.1155/2014/563086MaRDI QIDQ1718656zbMATH OpenOpenAlexWikidataFDO

Authors Jian Liu, Jihong Xiao, Lizhao Yan, Fenghua Wen

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/563086

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Credit risk (91G40)

Recommendations

• Valuation of catastrophe bonds
• Valuation of catastrophe reinsurance with catastrophe bonds
• Valuing catastrophe bonds involving correlation and CIR interest rate model
• Pricing and simulations of catastrophe bonds
• Valuing catastrophe bonds by Monte Carlo simulations
• Pricing catastrophe risk bonds: a mixed approximation method
• Catastrophe risk bonds with applications to earthquakes
• A NOTE ON RISKY BOND VALUATION
• The valuation of contingent capital with catastrophe risks

Cites work

• scientific article; zbMATH DE number 1454116 (Why is no real title available?)
• Binary tree pricing to convertible bonds with credit risk under stochastic interest rates
• Dynamics analysis of a class of delayed economic model
• Genetic algorithm-based multi-criteria project portfolio selection
• Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
• Pricing and simulations of catastrophe bonds
• Pricing catastrophe risk bonds: a mixed approximation method
• Pricing options and convertible bonds based on an actuarial approach

Cited in

(27)

• CAT bond pricing under a product probability measure with pot risk characterization
• Securitization of motor insurance loss rate risks
• Data breach CAT bonds: modeling and pricing
• Pricing catastrophe bonds with multistage stochastic programming
• Valuation of catastrophe reinsurance with catastrophe bonds
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
• Valuing convertible bonds based on LSRQM method
• A catastrophe shock model and the bond pricing
• Pricing catastrophe risk bonds: a mixed approximation method
• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
• Valuing clustering in catastrophe derivatives
• Valuing catastrophe bonds involving correlation and CIR interest rate model
• Valuing catastrophe bonds by Monte Carlo simulations
• Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
• The valuation of contingent capital with catastrophe risks
• Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
• A NOTE ON RISKY BOND VALUATION
• Catastrophe Risk Bonds
• Catastrophe risk bonds with applications to earthquakes
• Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
• Valuation of structured risk management products
• Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
• Pricing and simulations of catastrophe bonds
• Pricing catastrophe swaps: a contingent claims approach
• Pricing of reinsurance contracts in the presence of catastrophe bonds
• Multiple-event catastrophe bond pricing based on CIR-copula-POT model
• Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk

Describes a project that uses

Uses Software

• AS 215

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