Pricing of catastrophe bond in fuzzy framework
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Publication:2829648
DOI10.1007/978-3-642-30278-7_12zbMATH Open1348.91273OpenAlexW2232954195MaRDI QIDQ2829648FDOQ2829648
Authors: Piotr W. Nowak, MacIej Romaniuk 
Publication date: 8 November 2016
Published in: Towards Advanced Data Analysis by Combining Soft Computing and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-30278-7_12
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Cites Work
- Fuzzy sets
- Option pricing when underlying stock returns are discontinuous
- Representation and application of fuzzy numbers
- Computing option price for Lévy process with fuzzy parameters
- Pricing European options based on the fuzzy pattern of Black-Scholes formula.
- Market price of insurance risk implied by catastrophe derivatives
- Modelling catastrophe claims with left-truncated severity distributions
- Catastrophe Risk Bonds
- Indifference prices of structured catastrophe (CAT) bonds
- Aggregation of opinions using fuzzy numbers
- Pricing and simulations of catastrophe bonds
- Pricing of catastrophe bond in fuzzy framework
Cited In (6)
- Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making
- Valuing catastrophe bonds involving correlation and CIR interest rate model
- Pricing catastrophe bonds with multistage stochastic programming
- Pricing of catastrophe bond in fuzzy framework
- Catastrophe Risk Bonds
- Fuzzy approach for catastrophe model parameter estimation
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