Storm CAT Bond: Modeling and Valuation
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Cites work
- A general approach to full-range tail dependence copulas
- A Universal Framework for Pricing Financial and Insurance Risks
- CAT bond pricing under a product probability measure with pot risk characterization
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- Copula convergence theorems for tail events.
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- Credibility Using Copulas
- Factor copula models for replicated spatial data
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- Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data
- Goodness-of-fit tests for copulas: A review and a power study
- Hierarchical insurance claims modeling
- Indifference prices of structured catastrophe (CAT) bonds
- Knowledge Learning of Insurance Risks Using Dependence Models
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- Market price of insurance risk implied by catastrophe derivatives
- Model selection for discrete regular vine copulas
- Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
- Modelling mortality dependence: an application of dynamic vine copula
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- Natural hedging of life and annuity mortality risks
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- On the Distribution of a Positive Random Variable Having a Discrete Probability Mass at the Origin
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- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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- Weather Forecasting for Weather Derivatives
Cited in
(6)- Optimal Liquidity and Risk Management: The Use of CAT Bonds
- Risk modeling of property insurance claims from weather events
- Pricing catastrophe risk during transitions of physical and economic environments
- Individual loss reserving for multi-coverage insurance
- Multifactor cat bond pricing using distortion operator models with recurrent neural networks
- Quantile-based interpretable neural network models: mortality forecasting and actuarial simulations
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