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