Valuing catastrophe bonds involving correlation and CIR interest rate model
نویسندگان
چکیده
منابع مشابه
the calculation of optimal interest rate of fire insurance catastrophe bonds in iran using extreme value theory
in recent decades, issuing of catastrophe bonds for covering the catastrophe losses such as earthquakes, floods, etc. are getting more widespread. the purpose of this paper is determination of the optimal interest rates for investors of these securities, so that it becomes attractive for them. this paper uses fire insurance data in the period of 1328 to 1388 and considers the peaks over thresho...
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ژورنال
عنوان ژورنال: Computational and Applied Mathematics
سال: 2016
ISSN: 0101-8205,1807-0302
DOI: 10.1007/s40314-016-0348-2