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Pricing catastrophe risk bonds: A mixed approximation method

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Cited by:

  1. Dixon Domfeh & Arpita Chatterjee & Matthew Dixon, 2022. "A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives," Papers 2205.04520, arXiv.org.
  2. Zied Chaieb & Djibril Gueye, 2022. "Pricing zero-coupon CAT bonds using the enlargement of ltration theory: a general framework," Papers 2208.02609, arXiv.org.
  3. 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.
  4. Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Binti Abdul Halim, 2022. "Earthquake Catastrophe Bond Pricing Using Extreme Value Theory: A Mini-Review Approach," Mathematics, MDPI, vol. 10(22), pages 1-22, November.
  5. 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.
  6. 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.
  7. 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.
  8. Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
  9. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
  10. 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.
  11. Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Abdul Halim, 2023. "Single Earthquake Bond Pricing Framework with Double Trigger Parameters Based on Multi Regional Seismic Information," Mathematics, MDPI, vol. 11(3), pages 1-44, January.
  12. Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
  13. 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.
  14. Wulan Anggraeni & Sudradjat Supian & Sukono & Nurfadhlina Abdul Halim, 2023. "Catastrophe Bond Diversification Strategy Using Probabilistic–Possibilistic Bijective Transformation and Credibility Measures in Fuzzy Environment," Mathematics, MDPI, vol. 11(16), pages 1-30, August.
  15. Yuyun Hidayat & Titi Purwandari & Sukono & Igif Gimin Prihanto & Rizki Apriva Hidayana & Riza Andrian Ibrahim, 2023. "Mean-Value-at-Risk Portfolio Optimization Based on Risk Tolerance Preferences and Asymmetric Volatility," Mathematics, MDPI, vol. 11(23), pages 1-26, November.
  16. Harsh K. Mistry & Domenico Lombardi, 2023. "A stochastic exposure model for seismic risk assessment and pricing of catastrophe bonds," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 117(1), pages 803-829, May.
  17. Zied Chaieb & Djibril Gueye, 2022. "Pricing zero-coupon CAT bonds using the enlargement of ltration theory: a general framework ," Post-Print hal-03745077, HAL.
  18. 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.
  19. 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.
  20. Têtu Alexandre & Lai Van Son & Soumaré Issouf & Gendron Michel, 2015. "Hedging Flood Losses Using Cat Bonds," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 9(2), pages 149-184, July.
  21. Loretta Mastroeni & Alessandro Mazzoccoli & Maurizio Naldi, 2022. "Pricing Cat Bonds for Cloud Service Failures," JRFM, MDPI, vol. 15(10), pages 1-18, October.
  22. 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.
  23. Riza Andrian Ibrahim & Sukono & Herlina Napitupulu & Rose Irnawaty Ibrahim, 2023. "How to Price Catastrophe Bonds for Sustainable Earthquake Funding? A Systematic Review of the Pricing Framework," Sustainability, MDPI, vol. 15(9), pages 1-19, May.
  24. 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.
  25. Sukono & Herlina Napitupulu & Riaman & Riza Andrian Ibrahim & Muhamad Deni Johansyah & Rizki Apriva Hidayana, 2023. "A Regional Catastrophe Bond Pricing Model and Its Application in Indonesia’s Provinces," Mathematics, MDPI, vol. 11(18), pages 1-20, September.
  26. 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.
  27. 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.
  28. Vajira Manathunga & Linmiao Deng, 2023. "Pricing Pandemic Bonds under Hull–White & Stochastic Logistic Growth Model," Risks, MDPI, vol. 11(9), pages 1-28, August.
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