Valuing Catastrophe Bonds Involving Credit Risks
Joint Authors
Xiao, Jihong
Wen, Fenghua
Liu, Jian
Yan, Lizhao
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-17
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
Catastrophe bonds are the most important products in catastrophe risk securitization market.
For the operating mechanism, CAT bonds may have a credit risk, so in this paper we consider the influence of the credit risk on CAT bonds pricing that is different from the other literature.
We employ the Jarrow and Turnbull method to model the credit risks and get access to the general pricing formula using the Extreme Value Theory.
Furthermore, we present an empirical pricing study of the Property Claim Services data, where the parameters in the loss function distribution are estimated by the MLE method and the default probabilities are deduced by the US financial market data.
Then we get the catastrophe bonds value by the Monte Carlo method.
American Psychological Association (APA)
Liu, Jian& Xiao, Jihong& Yan, Lizhao& Wen, Fenghua. 2014. Valuing Catastrophe Bonds Involving Credit Risks. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-481016
Modern Language Association (MLA)
Liu, Jian…[et al.]. Valuing Catastrophe Bonds Involving Credit Risks. Mathematical Problems in Engineering No. 2014 (2014), pp.1-6.
https://search.emarefa.net/detail/BIM-481016
American Medical Association (AMA)
Liu, Jian& Xiao, Jihong& Yan, Lizhao& Wen, Fenghua. Valuing Catastrophe Bonds Involving Credit Risks. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-481016
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-481016