Subtitle:

Książka = Book ; KS/4/2012/P14

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Description:

[5], 169-184 pages ; 21 cm ; Bibliography p. 182-184

Type of object:

Book/Chapter

Abstract:

In this paper we discuss the problem of catastrophe bond pricing with a stepwise payoff function. An approach based on the martingale method is applied. In order to price the catastrophe bond we use fuzzy parameters and apply the Vasicek interest rate model. We assume replicability of interest rate changes by financial instruments existing in the market as well as independence between catastrophe occurrence and behaviour of financial market. Then the Monte Carlo simulations based on the obtained fuzzy pricing formula are carried out. The presented fuzzy sets approach may incorporate expertise knowledge to overcome lack of precise data in the discussed case.

Relation:

Książka = Book

Detailed Resource Type:

Book

Resource Identifier:

oai:rcin.org.pl:205943

Source:

KS-2012-04-P14

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

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: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open