- Tytuł:
- Application of the one-factor CIR interest rate model to catastrophe bond pricing under uncertainty
- Autorzy:
-
Nowak, P.
Romaniuk, M. - Powiązania:
- https://bibliotekanauki.pl/articles/384472.pdf
- Data publikacji:
- 2014
- Wydawca:
- Sieć Badawcza Łukasiewicz - Przemysłowy Instytut Automatyki i Pomiarów
- Tematy:
-
asset pricing
catastrophe bonds
CIR model
stochastic analysis
Monte Carlo simulations
fuzzy numbers - Opis:
- The number and amount of losses caused by natural catastrophes are important problems for insurance industry. New financial instruments were introduce to transfer risks from insurance to financial market. In this paper we consider the problem of pricing such instruments, called the catastrophe bonds (CAT bonds). We derive valuation formulas using stochastic analysis and fuzzy sets theory. As model of short interest rate we apply the one-factor Cox–Ingersoll–Ross (CIR) model. In this paper we treat the volatility of the interest rate as a fuzzy number to describe uncertainty of the market. We also apply the Monte Carlo approach to analyze the obtained cat bond fuzzy prices.
- Źródło:
-
Journal of Automation Mobile Robotics and Intelligent Systems; 2014, 8, 3; 19-27
1897-8649
2080-2145 - Pojawia się w:
- Journal of Automation Mobile Robotics and Intelligent Systems
- Dostawca treści:
- Biblioteka Nauki
Artykuł