Catasrophe Bond Pricing: An Application of Extreme Value Theory
This research aim to (1) apply catastrophe (CAT) bond pricing model by Zimbidis, Frangos and Pantelous onto data of Japan seismic activities (2) explore the option of using generalise Pareto distribution in Zimbidis, Frangos and Pantelous model. Qualitative methods and statistical software R is appl...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
|
| Online Access: | http://eprints.nottingham.ac.uk/26187/ http://eprints.nottingham.ac.uk/26187/1/SZEEN_ONG_MSc_Risk_Management.pdf |