Study on optimal discount coefficient of multi-event catastrophe bonds under risk feedback conditions

MaRDI QIDQ5075211zbMATH OpenFDO

Authors Zhentao Sun, Gongpin Cheng, Dingjun Yao

Publication date 10 May 2022

Full work available at URL http://aps.ecnu.edu.cn/EN/abstract/abstract9408.shtml

zbMATH Keywords

Monte Carlo simulationCAT bondsdiscount coefficienthedging efficiencymulti-events triggerrisk feedback

Mathematics Subject Classification ID

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

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