Pricing of zero-coupon and coupon cat bonds

• Autorzy: Krzysztof Burnecki , Grzegorz Kukla
• Języki publikacji: EN

Abstrakty

EN

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.

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2003
• Tom: 30
• Numer: 3
• Strony: 315-324

Daty

wydano

2003

Twórcy

autor

Krzysztof Burnecki

• Hugo Steinhaus Center, for Stochastic Methods, Institute of Mathematics, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

autor

Grzegorz Kukla

• Hugo Steinhaus Center, for Stochastic Methods, Institute of Mathematics, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

Identyfikatory

DOI

10.4064/am30-3-6