Multiple-Trigger Catastrophe Bond Pricing Model and Its Simulation Using Numerical Methods

Multiple-Trigger Catastrophe Bond Pricing Model and Its Simulation Using Numerical Methods

Investor interest in single-trigger catastrophe bonds (STCB) has the potential to decline in the future. It is triggered by the increasing trend of global catastrophe loss and intensity every year, which increases the probability that a claim of STCB will occur. To increase investor interest again,...

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Bibliographic Details
Main Authors: Riza Andrian Ibrahim, Sukono, Herlina Napitupulu
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Series:Mathematics
Subjects:
multiple-trigger catastrophe bonds
numerical methods
continuous distribution approximation method
Nuel recursive method
nonhomogeneous compound Poisson process
Online Access:https://www.mdpi.com/2227-7390/10/9/1363

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https://www.mdpi.com/2227-7390/10/9/1363

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