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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Hlavní autoři:	Yifan Tang, Conghua Wen, Chengxiu Ling, Yuqing Zhang
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	MDPI AG 2023-08-01
Edice:	Risks
Témata:	extreme value theory nested Archimedean copula CAT bond pricing ARMA model CIR model
On-line přístup:	https://www.mdpi.com/2227-9091/11/8/151
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