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Raport Badawczy = Research Report ; RB/59/2005
Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
26 pages ; 21 cm ; Bibliography p. 22
In the paper, a new approach to valuation of bonds under the default risk conditions, based on the concept of the investors' two-factor utility function is proposed. The first factor describes the expected average return from the risky investments, while the second - the worst case return. As a class of risky securities the so-called catastrophe bonds are considered. It is assumed that depending on the structure of the security contract, the investor who buys the bond issued by a local authority governing the risky region - will lose his interest payments and/or the principal value, if a catastrophic event occurs. For the purpose of the valuation procedure, the new notions of the security safety level, the safety index, as welI as a two-rule decision model are successively introduced. The subjective scale as a measure of the degree of individuals' risk aversion is proposed. The idea of objective and subjective risk components is investigated. The methodology proposed is ilIustrated by a computational example.
Raport Badawczy = Research Report
Creative Commons Attribution BY 4.0 license
Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -
Systems Research Institute of the Polish Academy of Sciences
Library of Systems Research Institute PAS
Oct 19, 2021
Sep 17, 2020
47
https://rcin.org.pl./publication/175117
Edition name | Date |
---|---|
RB-2005-59 : Jakubowski Andrzej : Two-factor utility approach to valuation of catastrophe bonds | Oct 19, 2021 |
Torzecki, Ryszard (1925–2003) Jonca, Karol (1930–2008) Stawecki, Piotr (1930– ) Kędzierski, Jerzy Zdzisław (1920–1985) Chmielewski, Paweł (1946– ) Dunin-Wąsowicz, Krzysztof (1923–2013) Sobczak, Janusz (1927–1983) Wojtas, Andrzej (1942– ) Drewniak, Bogusław (1927– ) Jakubowski, Józef
Jakubowski, Andrzej
Jakubowski, Andrzej
Jakubowski, Andrzej