Geodesic
Pricing of zero-coupon and coupon cat bonds
Krzysztof Burnecki 1   ; Grzegorz Kukla 1
1 Hugo Steinhaus Center for Stochastic Methods Institute of Mathematics Wrocław University of Technology Wybrzeże Wyspiańskiego 27 50-370 Wrocław, Poland
Applicationes Mathematicae, Tome 30 (2003) no. 3, pp. 315-324 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

Voir la notice de l'article

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.
DOI : 10.4064/am30-3-6
Keywords: apply results baryshnikov mayo taylor calculate non arbitrage prices zero coupon coupon cat bond first derive pricing formulae compound doubly stochastic poisson model framework study year catastrophe loss provided property claim services calibrate pricing model finally illustrate values cat bonds tied loss

Krzysztof Burnecki  1   ; Grzegorz Kukla  1

1 Hugo Steinhaus Center for Stochastic Methods Institute of Mathematics Wrocław University of Technology Wybrzeże Wyspiańskiego 27 50-370 Wrocław, Poland 
@article{10_4064_am30_3_6,
     author = {Krzysztof Burnecki and Grzegorz Kukla},
     title = {Pricing of zero-coupon and coupon cat bonds},
     journal = {Applicationes Mathematicae},
     pages = {315--324},
     year = {2003},
     volume = {30},
     number = {3},
     doi = {10.4064/am30-3-6},
     zbl = {1051.62105},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am30-3-6/}
}
TY  - JOUR
AU  - Krzysztof Burnecki
AU  - Grzegorz Kukla
TI  - Pricing of zero-coupon and coupon cat bonds
JO  - Applicationes Mathematicae
PY  - 2003
SP  - 315
EP  - 324
VL  - 30
IS  - 3
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am30-3-6/
DO  - 10.4064/am30-3-6
LA  - en
ID  - 10_4064_am30_3_6
ER  - 
%0 Journal Article
%A Krzysztof Burnecki
%A Grzegorz Kukla
%T Pricing of zero-coupon and coupon cat bonds
%J Applicationes Mathematicae
%D 2003
%P 315-324
%V 30
%N 3
%U http://geodesic.mathdoc.fr/articles/10.4064/am30-3-6/
%R 10.4064/am30-3-6
%G en
%F 10_4064_am30_3_6
Krzysztof Burnecki; Grzegorz Kukla. Pricing of zero-coupon and coupon cat bonds. Applicationes Mathematicae, Tome 30 (2003) no. 3, pp. 315-324. doi: 10.4064/am30-3-6

Cité par Sources :