Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals

DOI10.1155/2017/3279647zbMath1453.91099OpenAlexW2754736812MaRDI QIDQ2314745

Shisong Xiao, Zonggang Ma, Chao-Qun Ma

Publication date: 30 July 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/3279647

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model ⋮ Multiple-event catastrophe bond pricing based on CIR-copula-POT model

Cites Work

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• Option pricing when underlying stock returns are discontinuous

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