Pricing of zero-coupon and coupon cat bonds

DOI10.4064/am30-3-6zbMath1051.62105MaRDI QIDQ4829386

Grzegorz Kukla, Krzysztof Burnecki

Publication date: 29 November 2004

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am30-3-6

zbMATH Keywords

nonparametric tests; doubly stochastic Poisson process; loss distribution; catastrophe bond; non-arbitrage price

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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