Pricing hybrid-triggered catastrophe bonds based on copula-EVT model
Year of publication: |
2022
|
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Authors: | Wei, Longfei ; Liu, Lu ; Hou, Jialong |
Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 6.2022, 2, p. 223-243
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Subject: | catastrophe bonds | hybrid trigger mechanism | Archimedean copula | extreme value theory | stochastic interest rates | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Anleihe | Bond | Zinsstruktur | Yield curve | Ausreißer | Outliers | Finanzmathematik | Mathematical finance | Katastrophe | Disaster |
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