Pricing hybrid-triggered catastrophe bonds based on copula-EVT model
Longfei Wei, Lu Liu, Jialong Hou
| Year of publication: |
2022
|
|---|---|
| Authors: | Wei, Longfei ; Liu, Lu ; Hou, Jialong |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 6.2022, 2, p. 223-243
|
| Subject: | catastrophe bonds | hybrid trigger mechanism | Archimedean copula | extreme value theory | stochastic interest rates | Multivariate Verteilung | Multivariate distribution | Anleihe | Bond | Zinsstruktur | Yield curve | Katastrophe | Disaster | Ausreißer | Outliers | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2022010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013498934