Catastrophe Bond Pricing: An Application of Extreme Value Theory

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Catastrophe 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...

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Bibliographic Details
Main Author:	Ong, Sze En
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2012
Online Access:	https://eprints.nottingham.ac.uk/26184/

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