Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling

DOI10.1017/ASB.2017.32MaRDI QIDQ5745198zbMATH OpenOpenAlexFDO

Authors Gilles Stupfler, Fan Yang

Publication date 5 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL http://eprints.nottingham.ac.uk/46721/

zbMATH Keywords

CAT bondsconditional tail expectationextreme value theoryfinancial crisisfinancial loss principle

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A discussion on mean excess plots
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• Heavy-Tail Phenomena
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
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• On the block maxima method in extreme value theory: PWM estimators
• Quantitative risk management. Concepts, techniques and tools
• Statistics of Extremes
• Sur la distribution limite du terme maximum d'une série aléatoire
• Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression

Cited in

(4)

• Robust quantile estimation under bivariate extreme value models
• Analyzing mortality bond indexes via hierarchical forecast reconciliation
• CAT bond pricing under a product probability measure with pot risk characterization
• Imprecise Approaches to Analysis of Insurance Portfolio with Catastrophe Bond

Describes a project that uses

Uses Software

• QRM

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