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

zbMATH Open1490.91222MaRDI QIDQ5075211FDOQ5075211

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

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zbMATH Keywords

Monte Carlo simulationCAT bondsdiscount coefficienthedging efficiencymulti-events triggerrisk feedback

Mathematics Subject Classification ID

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

Cited In (3)

• Statistical and machine learning approaches for the minimization of trigger errors in parametric earthquake catastrophe bonds
• The optimal write-down coefficients in a percentage for a catastrophe bond
• Research on flood loss distribution and catastrophe bond pricing based on Bayesian inference

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