The valuation of catastrophe bonds with exposure to currency exchange risk
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DOI: 10.1016/j.irfa.2014.02.014
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Cited by:
- Fabio Pizzutilo & Elisabetta Venezia, 2018. "Are catastrophe bonds effective financial instruments in the transport and infrastructure industries? Evidence from international financial markets," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(2), pages 256-267, April.
- 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.
- Denis-Alexandre Trottier & Van Son Lai, 2017. "Reinsurance or CAT Bond? How to Optimally Combine Both," Working Papers 2017-003, Department of Research, Ipag Business School.
- Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019.
"A general class of distortion operators for pricing contingent claims with applications to CAT bonds,"
Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(7), pages 558-584, August.
- Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A General Class of Distortion Operators for Pricing Contingent Claims with Applications to CAT Bonds," Working Papers 2019-004, Department of Research, Ipag Business School.
- 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.
- Chatoro, Marian & Mitra, Sovan & Pantelous, Athanasios A. & Shao, Jia, 2023. "Catastrophe bond pricing in the primary market: The issuer effect and pricing factors," International Review of Financial Analysis, Elsevier, vol. 85(C).
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Keywords
CAT bond valuation; Catastrophic and currency exchange risk; Jump-diffusion process; 3D Brownian motion; Importance sampling; Brownian bridge;All these keywords.
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