Pricing index-linked catastrophe bonds via Monte Carlo simulation
The pricing framework used in this dissertation allows for the specification of catastrophe risk under the real-world measure. This gives the user a great deal of freedom in the assumptions made about the underlying catastrophe risk process (referred to in this dissertation as the aggregate loss pro...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/20647 |