Cat bond pricing under a product probability measure with pot risk characterization
By Qihe Tang and Zhongyi Yuan
| Year of publication: |
2019
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|---|---|
| Authors: | Tang, Qihe ; Yuan, Zhongyi |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 49.2019, 2, p. 457-490
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| Subject: | CAT bond | distortion | earthquake | extreme value theory | generalized Paretodistribution | peaks over threshold | pricing | product measure | Theorie | Theory | Risikomodell | Risk model | Katastrophe | Disaster | Risiko | Risk | Erdbeben | Earthquake | Risikoprämie | Risk premium | Anleihe | Bond | Messung | Measurement | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2019.11 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012056609