Catastrophe risk bonds with applications to earthquakes
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Recommendations
- Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
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- Pricing and simulations of catastrophe bonds
Cites work
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 1234545 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1082202 (Why is no real title available?)
- scientific article; zbMATH DE number 1494228 (Why is no real title available?)
- A theory of the term structure of interest rates
- Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
- An introduction to statistical modeling of extreme values
- Catastrophe Risk Bonds
- Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
- Indifference prices of structured catastrophe (CAT) bonds
- Martingales and arbitrage in multiperiod securities markets
- Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
- Monte Carlo methods for security pricing
- On the Applicability of the Wang Transform for Pricing Financial Risks
- On the minimal martingale measure and the möllmer-schweizer decomposition
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Pricing and simulations of catastrophe bonds
- Pricing of zero-coupon and coupon cat bonds
- Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
- QMC techniques for CAT bond pricing *
- Securitization of catastrophe mortality risks
- Stochastic calculus for finance. I: The binomial asset pricing model.
- Sur la distribution limite du terme maximum d'une série aléatoire
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- Time series analysis. Forecasting and control
Cited in
(16)- scientific article; zbMATH DE number 2076202 (Why is no real title available?)
- Statistical and machine learning approaches for the minimization of trigger errors in parametric earthquake catastrophe bonds
- Valuing catastrophe bonds involving credit risks
- A catastrophe shock model and the bond pricing
- Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
- Valuation of catastrophe reinsurance with catastrophe bonds
- Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
- Multiple-event catastrophe bond pricing based on CIR-copula-POT model
- Pricing of insurance-linked securities: a multi-peril approach
- CAT bond pricing under a product probability measure with pot risk characterization
- Aspects of the theory of financial risk management for natural disasters
- Pricing and simulations of catastrophe bonds
- Data breach CAT bonds: modeling and pricing
- Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
- Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
- Catastrophe Risk Bonds
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