Similar Search Results

The valuation of catastrophe bonds with exposure to currency exchange risk

Lai, Van Son; Parcollet, Mathieu; Lamond, Bernard F. - In: International review of financial analysis 33 (2014), pp. 243-252

Persistent link: https://www.econbiz.de/10010520456

A general class of distortion operators for pricing contingent claims with applications to CAT bonds

Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre - In: Scandinavian actuarial journal 2019 (2019) 7, pp. 558-584

Persistent link: https://www.econbiz.de/10012194976

Insurance options : beating the benchmark : are catastrophe bonds more profitable than corporate bonds?

Caro Barrera, José Rafael - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 3-17

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...

Persistent link: https://www.econbiz.de/10012259883

Loading pricing of catastrophe bonds and other long-dated, insurance-type contracts

Platen, Eckhard; Taylor, David - 2016

Persistent link: https://www.econbiz.de/10011778139

Improving CAT bond pricing models via machine learning

Götze, Tobias; Gürtler, Marc; Witowski, Eileen - In: The journal of asset management 21 (2020) 5, pp. 428-446

Persistent link: https://www.econbiz.de/10012292867

Common Risk Factors in the Cross Section of Catastrophe Bond Returns

Braun, Alexander; Herrmann, Markus; Hibbeln, Martin Thomas - 2021

for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of … cat bond returns. After investigating a battery of possible cat bond return factors in bivariate and multivariate … portfolio sorts as well as Fama-MacBeth regressions, we propose a four-factor cat bond model. Its factors are the seasonality …

Persistent link: https://www.econbiz.de/10013216898

Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis

Aghdam, Y. Esmaeelzade; Neisy, A.; Adl, A. - In: Computational economics 63 (2024) 1, pp. 423-435

Persistent link: https://www.econbiz.de/10014472268

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de/10015181854

Credit derivatives pricing with stochastic volatility models

Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10009779780

Inflation risk premium implied by options

Azoulay, Eddy; Brenner, Menachem; Landskroner, Yoram; … - In: Journal of economics & business 71 (2014), pp. 90-102

Persistent link: https://www.econbiz.de/10010389516