Abstract
In the paper we consider catastrophe bonds with a stepwise payoff structure.We use the martingale method to price it under the condition of no arbitrage. We assume a stochastic form of the spot interest rate, replicability of interest rate changes by financial instruments existing in the market as well as independence between a catastrophe occurrence and behaviour of the financial market. The fuzzy sets approach, presented in the paper, may incorporate expertise knowledge to overcome lack of precise data in the discussed case.
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Nowak, P., Romaniuk, M. (2013). Pricing of Catastrophe Bond in Fuzzy Framework. In: Borgelt, C., Gil, M., Sousa, J., Verleysen, M. (eds) Towards Advanced Data Analysis by Combining Soft Computing and Statistics. Studies in Fuzziness and Soft Computing, vol 285. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-30278-7_12
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DOI: https://doi.org/10.1007/978-3-642-30278-7_12
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