Catastrophe Bond Pricing with Fuzzy Volatility Parameters

Author:

Nowak Piotr,Romaniuk Maciej

Publisher

Springer International Publishing

Reference19 articles.

1. Buckley, J.J., Eslami, E.: Pricing stock options using fuzzy sets. Iran. J. Fuzzy Syst. 4(2), 1–14 (2007)

2. Chernobai, A., Burnecki, K., Rachev, S., Trueck, S., Weron, R.: Modeling catastrophe claims with left-truncated severity distributions. HSC, Research Reports, HSC/05/01 (2005)

3. Ermolieva, T., Romaniuk, M., Fischer, G., Makowski, M.: Integrated model-based decision support for management of weather-related agricultural losses. In: Hryniewicz, O., Studziński, J., Romaniuk, M. (eds.), Enviromental informatics and systems research. Vol. 1: Plenary and session papers—EnviroInfo 2007, Shaker Verlag, IBS PAN (2007)

4. Ermolieva, T., Ermoliev, Y.: Catastrophic risk management: flood and seismic risks case studies. In: Wallace, S.W., Ziemba, W.T. (eds.) Applications of Stochastic Programming. MPS-SIAM Series on Optimization, Philadelphia (2005)

5. George, J.B.: Alternative reinsurance: using catastrophe bonds and insurance derivatives as a mechanism for increasing capacity in the insurance markets. CPCU J. 52(1), 50–54 (1999)

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