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.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am30-3-6,
author = {Krzysztof Burnecki and Grzegorz Kukla},
title = {Pricing of zero-coupon and coupon cat bonds},
journal = {Applicationes Mathematicae},
volume = {30},
year = {2003},
pages = {315-324},
zbl = {1051.62105},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-3-6}
}
Krzysztof Burnecki; Grzegorz Kukla. Pricing of zero-coupon and coupon cat bonds. Applicationes Mathematicae, Tome 30 (2003) pp. 315-324. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-3-6/