Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
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Cites work
- Maximum likeiihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
- Sur la distribution limite du terme maximum d'une série aléatoire
Cited in
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- Multiple-event catastrophe bond pricing based on CIR-copula-POT model
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- Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
- Robust quantile estimation under bivariate extreme value models
- Catastrophe risk bonds with applications to earthquakes
- scientific article; zbMATH DE number 6613707 (Why is no real title available?)
- Bayesian approaches for analyzing earthquake catastrophic risk
- Learning about Risk: Some Lessons from Insurance
- scientific article; zbMATH DE number 2076202 (Why is no real title available?)
- Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
- An Econometric Model Based on the Maxmin Expected Utility Model: An Application to Earthquake Insurance
- Statistical and machine learning approaches for the minimization of trigger errors in parametric earthquake catastrophe bonds
- An extreme-value theory approximation scheme in reinsurance and insurance-linked securities
- Data breach CAT bonds: modeling and pricing
- CAT bond pricing under a product probability measure with pot risk characterization
- Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
- Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
- Aspects of the theory of financial risk management for natural disasters
- Stochastic assessment of seismic risk using faults to address the incomplete information in historical catalogues
- Pricing of insurance-linked securities: a multi-peril approach
- Multi-period pricing of data breach catastrophe bonds: A hybrid triggers and LSTM framework
- Construction of asymptotically unbiased estimators of a positive extreme value index
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