Pricing Multi-Event-Triggered Catastrophe Bonds Based on a Copula–POT Model

The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an extreme...

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Autors principals:	Yifan Tang, Conghua Wen, Chengxiu Ling, Yuqing Zhang
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2023-08-01
Col·lecció:	Risks
Matèries:	extreme value theory nested Archimedean copula CAT bond pricing ARMA model CIR model
Accés en línia:	https://www.mdpi.com/2227-9091/11/8/151
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