Pricing of zero-coupon and coupon cat bonds
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Publication:4829386
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
nonparametric tests; doubly stochastic Poisson process; loss distribution; catastrophe bond; non-arbitrage price
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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