Valuing catastrophe bonds by Monte Carlo simulations
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
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- Wolfgang Karl Härdle & Brenda López Cabrera, 2010.
"Calibrating CAT Bonds for Mexican Earthquakes,"
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More about this item
KeywordsCatastrophe Bonds; Digital Options; Jump-diffusion Process; Mean-reverting Process; Variance Reduction;
StatisticsAccess and download statistics
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