Modeling Loss Index Triggers for Catastrophe (Cat) Bonds: An Alternative Continuous Approach
This paper proposes a method for continuous-time random modeling of loss indextriggeredcatastrophe bonds (cat bonds) that simplifies both rating and pricing throughouttheir maturity period. This index is based on the amount of declared losses calculated as thedifference between the total amount of t...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
OmniaScience
2017-10-01
|
| Series: | Harvard Deusto Business Research |
| Online Access: | http://www.hdbresearch.com/index.php/hdbr/article/view/64 |