Valuing Catastrophe Bonds Involving Credit Risks

Catastrophe bonds are the most important products in catastrophe risk securitization market. For the operating mechanism, CAT bonds may have a credit risk, so in this paper we consider the influence of the credit risk on CAT bonds pricing that is different from the other literature. We employ the Ja...

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Bibliographic Details
Main Authors: Jian Liu, Jihong Xiao, Lizhao Yan, Fenghua Wen
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2014/563086