Pricing of catastrophe bond in fuzzy framework

DOI10.1007/978-3-642-30278-7_12zbMATH Open1348.91273OpenAlexW2232954195MaRDI QIDQ2829648FDOQ2829648

MacIej Romaniuk, Piotr W. Nowak

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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Mathematics Subject Classification ID

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

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 (3)

• Valuing catastrophe bonds involving correlation and CIR interest rate model
• Pricing of Catastrophe Bond in Fuzzy Framework
• Catastrophe Risk Bonds

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