Pérez-Fructuoso, María José - In: Revista de Métodos Cuantitativos para la Economía y … 24 (2017), pp. 340-361
This paper develops a continuous-time random model of loss index triggers for cat bonds on the basis of the loss amount incurred until their maturity. Assuming that total loss amount due to a catastrophe is defined as the sum of the incurred loss amount plus the incurred-but-not-yet reported...
