We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the same metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...

The current paper provides a general approach to construct distortion operators that can price financial and insurance risks. Our approach generalizes the Wang (2000) transform and recovers multiple distortions proposed in the literature as particular cases. This approach enables designing...

In this paper, we present a new model that takes an arbitrage approach to the valuation of catastrophic risk bonds (CAT bonds). The model considers the sponsor's exposure to currency exchange risk and the risk of catastrophic events. We use a jump-diffusion process for catastrophic events, a...

Although several works have highlighted the diversification benefits of catastrophe (CAT) bond funds as well as the attracting returns they offer, there is a lack in the literature regarding what econometric models are suitable to predict the risks of such funds. This note contributes by...