Article ID Journal Published Year Pages File Type
5076665 Insurance: Mathematics and Economics 2013 11 Pages PDF
Abstract
► We describe the main properties and history of catastrophe bonds. ► We prove a general pricing formula for catastrophe bonds. ► We price two types of catastrophe bonds, assuming different models of interest rates. ► The obtained formulas are used in simulations for conducting numerical analysis.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Pricing and simulations of catastrophe bonds
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