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Pricing Default‐Risky CAT Bonds With Moral Hazard and Basis Risk

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References

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Cited by

2015Pricing in the Primary Market for Cat Bonds: New Empirical Evidence124 cited
2006Valuation of catastrophe reinsurance with catastrophe bonds110 cited
2014The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds100 cited
2010

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Calibrating CAT Bonds for Mexican Earthquakes

91 cited

2012Pricing and simulations of catastrophe bonds85 cited

2013Pricing catastrophe risk bonds: A mixed approximation method81 cited

2007Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds74 cited

2012Accuracy of Premium Calculation Models for CAT Bonds—An Empirical Analysis72 cited

2010Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes42 cited

2008Pricing perpetual American catastrophe put options: A penalty function approach41 cited

2021Estimating the relation between digitalization and the market value of insurers40 cited

2009The valuation of contingent capital with catastrophe risks40 cited

2009Pricing catastrophe options with stochastic claim arrival intensity in claim time39 cited

2003Valuing catastrophe bonds by Monte Carlo simulations37 cited

2014The Valuation of Catastrophe Bonds with Exposure to Currency Exchange Risk26 cited

2010Longevity/Mortality Risk Modeling and Securities Pricing17 cited