A random forest based approach for predicting spreads in the primary catastrophe bond market
Despoina Makariou, Pauline Barrieu, Yining Chen
| Year of publication: |
2021
|
|---|---|
| Authors: | Makariou, Despoina ; Barrieu, Pauline ; Chen, Yining |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 101.2021, 2, p. 140-162
|
| Subject: | Catastrophe bond pricing | Interactions | Machine learning in insurance | Minimal depth importance | Permutation importance | Primary market spread prediction | Random forest | Stability | Prognoseverfahren | Forecasting model | Künstliche Intelligenz | Artificial intelligence | Anleihe | Bond | Theorie | Theory | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.07.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012793915