Stable weak approximation at work in index-linked catastrophe bond pricing
Year of publication: |
December 2017
|
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Authors: | Burnecki, Krzysztof ; Giuricich, Mario Nicoló |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 5.2017, 4, p. 1-19
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Subject: | index-linked catastrophe bonds | compound renewal process | compound Poisson process | heavy-tailed claims | table Lévy motion | weak convergence | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks5040064 [DOI] hdl:10419/195792 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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