Pricing of catastrophe bond in fuzzy framework

DOI10.1007/978-3-642-30278-7_12MaRDI QIDQ2829648zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• Aggregation of opinions using fuzzy numbers
• Catastrophe Risk Bonds
• Computing option price for Lévy process with fuzzy parameters
• Fuzzy sets
• Indifference prices of structured catastrophe (CAT) bonds
• Market price of insurance risk implied by catastrophe derivatives
• Modelling catastrophe claims with left-truncated severity distributions
• Option pricing when underlying stock returns are discontinuous
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• Pricing and simulations of catastrophe bonds
• Pricing of catastrophe bond in fuzzy framework
• Representation and application of fuzzy numbers

Cited in

(6)

• Pricing catastrophe bonds with multistage stochastic programming
• 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
• Catastrophe Risk Bonds
• Fuzzy approach for catastrophe model parameter estimation
• Pricing of catastrophe bond in fuzzy framework

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