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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.
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