Nuclear Catastrophe Risk Bonds in a Markov-Dependent Environment-Reference-Cited by-同舟云学术

Nuclear Catastrophe Risk Bonds in a Markov-Dependent Environment

Published:2017-12 Issue:4 Volume:3 Page:04017018
ISSN:2376-7642
Container-title:ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part A: Civil Engineering
language:en
Short-container-title:ASCE-ASME J. Risk Uncertainty Eng. Syst., Part A: Civ. Eng.

Author:

Shao Jia¹,Pantelous Athanasios A.²,Ayyub Bilal M.³,Chan Stephen⁴,Nadarajah Saralees⁵

Affiliation:

1. Lecturer in Statistics, SIGMA, Coventry Univ., Coventry CV1 5DD, U.K. (corresponding author).

2. Reader, Dept. of Mathematical Sciences, Univ. of Liverpool, Liverpool L69 7ZL, U.K.

3. Professor, Dept. of Civil and Environmental Engineering, Center for Technology and Systems Management, Univ. of Maryland, College Park, MD 20742.

4. Ph.D. Candidate in Financial Mathematics, School of Mathematics, Univ. of Manchester, Manchester M13 9PL, U.K.

5. Senior Lecturer, School of Mathematics, Univ. of Manchester, Manchester M13 9PL, U.K.

Publisher

American Society of Civil Engineers (ASCE)

Subject

Safety, Risk, Reliability and Quality,Building and Construction,Civil and Structural Engineering

Link

http://ascelibrary.org/doi/pdf/10.1061/AJRUA6.0000923

Reference70 articles.

1. A Bayesian pricing model for CAT bonds;Ahrens F.;Modeling, Dynamics, Optimization and Bioeconomics I. Springer Proceedings in Mathematics & Statistics,2014

2. QMC techniques for CAT bond pricing;Albrecher H.;Monte Carlo Methods Appl.,2004

3. Artemis. (2017a). “Catastrophe bonds & ILS issued and outstanding.” ⟨www.Artemis.bm⟩ (Mar. 15 2017).

4. Artemis. (2017b). “Catastrophe bonds & ILS outstanding by coverage type.” ⟨www.Artemis.bm⟩ (Mar. 15 2017).

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