The optimal write-down coefficients in a percentage for a catastrophe bond

DOI10.1080/10920277.2017.1283236zbMATH Open1393.91102OpenAlexW2609002022MaRDI QIDQ4567957FDOQ4567957

Authors: Xiaoli Zhang, Cary Chi-Liang Tsai 

Publication date: 20 June 2018

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2017.1283236

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zbMATH Keywords

pricing formulacatastrophe bondcatastrophe riskhedge effectiveness rateoptimal write-down coefficient

Mathematics Subject Classification ID

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

Cites Work

• Measuring Basis Risk in Longevity Hedges
• A linear regression approach to modeling mortality rates of different forms
• Pricing catastrophe risk bonds: a mixed approximation method
• Valuation of catastrophe reinsurance with catastrophe bonds
• Valuing catastrophe bonds by Monte Carlo simulations
• Pricing of zero-coupon and coupon cat bonds
• Catastrophe Risk Bonds
• Indifference prices of structured catastrophe (CAT) bonds
• Key q-duration: a framework for hedging longevity risk
• Pricing and simulations of catastrophe bonds
• Longevity Risk and Capital Markets: The 2012–2013 Update

Cited In (4)

• Statistical and machine learning approaches for the minimization of trigger errors in parametric earthquake catastrophe bonds
• Study on optimal discount coefficient of multi-event catastrophe bonds under risk feedback conditions
• Research on innovation and pricing of flood catastrophic bonds
• Inverse problems to estimate market price of risk in catastrophe bonds

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