Valuation of catastrophe bonds

MaRDI QIDQ1578320zbMATH OpenFDO

Authors Roman Kulikowski, Andrzej Jakubowski

Publication date 19 September 2000

Published in Bulletin of the Polish Academy of Sciences. Technical Sciences (Search for Journal in Brave)

zbMATH Keywords

risk aversioncatastrophe bondsexpected returnrisk securitizationsafety levelsubjective scaletwo factors utilitytwo rules approachvaluation procedureworst case return

Mathematics Subject Classification ID

Decision theory (91B06)

Recommendations

• Valuing catastrophe bonds involving credit risks
• Catastrophe Risk Bonds
• Pricing and simulations of catastrophe bonds
• Valuation of catastrophe reinsurance with catastrophe bonds
• Catastrophe risk bonds with applications to earthquakes

Cited in

(11)

• Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making
• Valuing catastrophe bonds involving credit risks
• Valuation of catastrophe reinsurance with catastrophe bonds
• Valuing catastrophe bonds involving correlation and CIR interest rate model
• Pricing of catastrophe bond in fuzzy framework
• Valuation of structured risk management products
• Valuing catastrophe bonds by Monte Carlo simulations
• Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk
• Model-independent price bounds for catastrophic mortality bonds
• Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
• Catastrophe Risk Bonds

This page was built for publication: Valuation of catastrophe bonds

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1578320)