Pricing catastrophe swaps with default risk and stochastic interest rates
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DOI: 10.1016/j.pacfin.2020.101314
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- Raluca Maran, 2023. "Do Sovereign Catastrophe Bonds Improve Fiscal Resilience? An Application of Synthetic Control Method to Mexico," Economics of Disasters and Climate Change, Springer, vol. 7(3), pages 431-455, November.
- Han-Bin KANG & Hsuling CHANG & Tsangyao CHANG, 2022. "Catastrophe Reinsurance Pricing -Modification of Dynamic Asset-Liability Management," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-20, December.
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Keywords
Swap; Catastrophe risk; Counterparty risk; Swap spread; Stochastic interest rates; Basis risk;All these keywords.
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