Tytuł:

New developments in fuzzy sets, intuitionistic fuzzy sets, generalized nets and related topics. Volume II: applications * Fuzzy pricing of catastrophe bond with a stepwise payoff function

Inny tytuł:

Książka = Book ; KS/4/2012/P14

Twórca:

Nowak, Piotr (matematyka) ; Romaniuk, Maciej

Wydawca:

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

Miejsce wydania:

Warszawa

Data wydania/powstania:

2012

Opis:

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

Typ obiektu:

Book/Chapter

Abstrakt:

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.

Czasopismo/Seria/cykl:

Książka = Book

Typ zasobu:

Text

Szczegółowy typ zasobu:

Book

Źródło:

KS-2012-04-P14

Język:

eng

Język streszczenia:

eng

Prawa:

Creative Commons Attribution BY 4.0 license

Zasady wykorzystania:

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: ; -

Digitalizacja:

Systems Research Institute of the Polish Academy of Sciences

Lokalizacja oryginału:

Library of Systems Research Institute PAS

Dofinansowane ze środków:

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.

Dostęp:

Open