Pricing index-based catastrophe bonds: Part 1 Formulation and discretization issues using a numerical PDE approach
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| Published in | Computers & geosciences Vol. 36; no. 2; pp. 139 - 149 |
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| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
Kidlington
Elsevier
01.02.2010
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| Subjects | |
| Online Access | Get full text |
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| Author | UNGER, André J. A |
|---|---|
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| Keywords | models CAT bond object oriented data processing industry catastrophes aggregate Numerical PDE Reinsurance hurricanes Callable bond price style strategy discretization computers |
| Language | English |
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| Title | Pricing index-based catastrophe bonds: Part 1 Formulation and discretization issues using a numerical PDE approach |
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