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A simple robust model for Cat bond valuation

Citations

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Cited by:

  1. Beer, Simone & Braun, Alexander & Marugg, Andrin, 2019. "Pricing industry loss warranties in a Lévy–Frailty framework," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 171-181.
  2. Shao, Jia & Papaioannou, Apostolos D. & Pantelous, Athanasios A., 2017. "Pricing and simulating catastrophe risk bonds in a Markov-dependent environment," Applied Mathematics and Computation, Elsevier, vol. 309(C), pages 68-84.
  3. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
  4. Peter Carayannopoulos & Olga Kanj & M. Fabricio Perez, 2022. "Pricing dynamics in the market for catastrophe bonds," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(1), pages 172-202, January.
  5. Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
  6. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019. "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
  7. Lorilee A. Medders & Steven L. Schwarcz, 2022. "Securitizing pandemic‐risk insurance," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 25(4), pages 551-583, December.
  8. Ma, Zong-Gang & Ma, Chao-Qun, 2013. "Pricing catastrophe risk bonds: A mixed approximation method," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 243-254.
  9. Sukono & Hafizan Juahir & Riza Andrian Ibrahim & Moch Panji Agung Saputra & Yuyun Hidayat & Igif Gimin Prihanto, 2022. "Application of Compound Poisson Process in Pricing Catastrophe Bonds: A Systematic Literature Review," Mathematics, MDPI, vol. 10(15), pages 1-19, July.
  10. 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.
  11. Carolyn W. Chang & Jack S. K. Chang & Min‐Teh Yu & Yang Zhao, 2020. "Portfolio optimization in the catastrophe space," European Financial Management, European Financial Management Association, vol. 26(5), pages 1414-1448, November.
  12. Chang Carolyn W. & Feng Yalan, 2021. "Hurricane Bond Price Dependency on Underlying Hurricane Parameters," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 15(1), pages 1-21, January.
  13. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
  14. Dixon Domfeh & Arpita Chatterjee & Matthew Dixon, 2022. "A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives," Papers 2205.04520, arXiv.org.
  15. Colaneri, Katia & Frey, Rüdiger, 2021. "Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 498-507.
  16. Zied Chaieb & Djibril Gueye, 2022. "Pricing zero-coupon CAT bonds using the enlargement of ltration theory: a general framework," Papers 2208.02609, arXiv.org.
  17. Lai, Van Son & Parcollet, Mathieu & Lamond, Bernard F., 2014. "The valuation of catastrophe bonds with exposure to currency exchange risk," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 243-252.
  18. Riza Andrian Ibrahim & Sukono & Herlina Napitupulu & Rose Irnawaty Ibrahim, 2024. "Earthquake Bond Pricing Model Involving the Inconstant Event Intensity and Maximum Strength," Mathematics, MDPI, vol. 12(6), pages 1-21, March.
  19. Denis-Alexandre Trottier & Van Son Lai & Anne-Sophie Charest, 2017. "CAT Bond Spreads Via HARA Utility and Nonparametric Tests," Working Papers 2017-002, Department of Research, Ipag Business School.
  20. Markus Herrmann & Martin Hibbeln, 2023. "Trading and liquidity in the catastrophe bond market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 283-328, June.
  21. Jun, Doobae & Ku, Hyejin, 2017. "Closed-form solutions for options with random initiation under asset price monitoring," Finance Research Letters, Elsevier, vol. 20(C), pages 68-74.
  22. Apostolos Kiohos & Maria Paspati, 2021. "Alternative to Insurance Risk Transfer: Creating a catastrophe bond for Romanian earthquakes," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 1-17.
  23. Alexander Braun, 2016. "Pricing in the Primary Market for Cat Bonds: New Empirical Evidence," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 811-847, December.
  24. Zied Chaieb & Djibril Gueye, 2022. "Pricing zero-coupon CAT bonds using the enlargement of ltration theory: a general framework ," Post-Print hal-03745077, HAL.
  25. Krzysztof Burnecki & Mario Nicoló Giuricich, 2017. "Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing," Risks, MDPI, vol. 5(4), pages 1-19, December.
  26. Jang, Jiwook & Qu, Yan & Zhao, Hongbiao & Dassios, Angelos, 2023. "A Cox model for gradually disappearing events," LSE Research Online Documents on Economics 112754, London School of Economics and Political Science, LSE Library.
  27. Riza Andrian Ibrahim & Sukono & Herlina Napitupulu, 2022. "Multiple-Trigger Catastrophe Bond Pricing Model and Its Simulation Using Numerical Methods," Mathematics, MDPI, vol. 10(9), pages 1-17, April.
  28. Sukono & Riza Andrian Ibrahim & Moch Panji Agung Saputra & Yuyun Hidayat & Hafizan Juahir & Igif Gimin Prihanto & Nurfadhlina Binti Abdul Halim, 2022. "Modeling Multiple-Event Catastrophe Bond Prices Involving the Trigger Event Correlation, Interest, and Inflation Rates," Mathematics, MDPI, vol. 10(24), pages 1-18, December.
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