Pricing index-based catastrophe bonds: Part 1 Formulation and discretization issues using a numerical PDE approach

Saved in:
Bibliographic Details
Published inComputers & geosciences Vol. 36; no. 2; pp. 139 - 149
Main Author UNGER, André J. A
Format Journal Article
LanguageEnglish
Published Kidlington Elsevier 01.02.2010
Subjects
Earth sciences
Earth, ocean, space
Exact sciences and technology
models
CAT bond
object oriented
data processing
industry
catastrophes
aggregate
Numerical PDE
Reinsurance
hurricanes
Callable bond
price
style
strategy
discretization
computers
Online AccessGet full text

Cover

More Information
ISSN:0098-3004
DOI:10.1016/j.cageo.2009.06.010