Valuation of contingent convertible catastrophe bonds : the case for equity conversion
Year of publication: |
2019
|
---|---|
Authors: | Burnecki, Krzysztof ; Giuricich, Mario Nicoló ; Palmowski, Zbigniew |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 88.2019, p. 238-254
|
Subject: | Catastrophe risk | Contingent convertible bond | Time-inhomogeneous compound Poisson process | Longstaff model | Risk neutral measure | Heavy-tailed data | Wandelanleihe | Convertible bond | Katastrophe | Disaster | Risiko | Risk | Optionspreistheorie | Option pricing theory | Risikomodell | Risk model |
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