Pricing of zero-coupon and coupon cat bonds

Krzysztof Burnecki, and Grzegorz Kukla. "Pricing of zero-coupon and coupon cat bonds." Applicationes Mathematicae 30.3 (2003): 315-324. <http://eudml.org/doc/279221>.

@article{KrzysztofBurnecki2003,
abstract = {We apply the results of Baryshnikov, Mayo and Taylor (1998) to calculate non-arbitrage prices of a zero-coupon and coupon CAT bond. First, we derive pricing formulae in the compound doubly stochastic Poisson model framework. Next, we study 10-year catastrophe loss data provided by Property Claim Services and calibrate the pricing model. Finally, we illustrate the values of the CAT bonds tied to the loss data.},
author = {Krzysztof Burnecki, Grzegorz Kukla},
journal = {Applicationes Mathematicae},
keywords = {catastrophe bond; doubly stochastic Poisson process; loss distribution; non-arbitrage price; nonparametric tests},
language = {eng},
number = {3},
pages = {315-324},
title = {Pricing of zero-coupon and coupon cat bonds},
url = {http://eudml.org/doc/279221},
volume = {30},
year = {2003},
}

TY - JOUR
AU - Krzysztof Burnecki
AU - Grzegorz Kukla
TI - Pricing of zero-coupon and coupon cat bonds
JO - Applicationes Mathematicae
PY - 2003
VL - 30
IS - 3
SP - 315
EP - 324
AB - We apply the results of Baryshnikov, Mayo and Taylor (1998) to calculate non-arbitrage prices of a zero-coupon and coupon CAT bond. First, we derive pricing formulae in the compound doubly stochastic Poisson model framework. Next, we study 10-year catastrophe loss data provided by Property Claim Services and calibrate the pricing model. Finally, we illustrate the values of the CAT bonds tied to the loss data.
LA - eng
KW - catastrophe bond; doubly stochastic Poisson process; loss distribution; non-arbitrage price; nonparametric tests
UR - http://eudml.org/doc/279221
ER -