Pricing multi-event-triggered catastrophe bonds based on a copula-POT model
Year of publication: |
2023
|
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Authors: | Tang, Yifan ; Wen, Conghua ; Ling, Chengxiu ; Zhang, Yuqing |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 8, Art.-No. 151, p. 1-19
|
Subject: | extreme value theory | nested Archimedean copula | CAT bond pricing | ARMA model | CIR model | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Anleihe | Bond | Risikomodell | Risk model | Ausreißer | Outliers | ARMA-Modell | Katastrophe | Disaster |
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