Abstract
We apply the results of Baryshnikov, Mayo and Taylor (1998) to calculate non-arbitrage prices of a zero-coupon and coupon CAT bond. First, we derive pricing formulae in the compound doubly stochastic Poisson model framework. Next, we study 10-year catastrophe loss data provided by Property Claim Services and calibrate the pricing model. Finally, we illustrate the values of the CAT bonds tied to the loss data.
Volume
30
Page
315 ‐ 324
Number
3
Year
2003
Keywords
catastrophe bond; doubly stochastic Poisson process; loss distribution; non-arbitrage price; non-parametric test
Categories
Catastrophe Risk
Reinsurance and Alternative Risk Transfer
Publications
Applicationes Mathematicae
