References
- Baryshnikov, Y., Mayo, A., & Taylor, D. (2001). Pricing of CAT Bonds. Preprint. Retrieved from http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.202.9296
- Braun, A. (2016). Pricing in the primary market for cat bonds: New empirical evidence. The Journal of Risk and Insurance, 83(4), 811–847.
- Burnecki, K., Kukla, G., & Taylor, D. (2011). Pricing Catastrophe Bond. In P. Cizek, W. Härdle, & R. Weron (Eds.), Statistical tools for finance and insurance (pp. 371–391). Berlin: Springer.
- Burnecki, K., & Kukla, G. (2003). Pricing of zero-coupon and coupon CAT bonds. Applied Mathematics, 30, 315–324.
- Cox, J. C., Jr.Ingersoll, J. E., & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385–407.
- Cox, S. H., & Pedersen, H. W. (2000). Catastrophe risk bonds. North American Actuarial Journal, 4(4), 56–82.
- Cummins, J. D. (2008). CAT bonds and other risk-linked securities: state of the market and recent developments. Risk Management and Insurance Review, 11(1), 23–47.
- Der Kiureghian, A. (1989). Measures of structural safety under imperfect states of knowledge. Journal of Structural Engineering, 115(5), 1119–1140.
- Diebold, F. X., Doherty, N. A., & Herring, R. J. (2010). The known, the unknown, and the unknowable in financial risk management: Measurement and theory advancing practice. Princeton University Press, 210–238.
- Franco, G. (2010). Minimization of trigger error in Cat-in-a-Box parametric earthquake catastrophe bonds with an application to Costa Rica. Earthquake Spectra, 26(4), 983–998.
- Galeotti, M., Gürtler, M., & Winkelvos, C. (2013). Accuracy of premium calculation models for CAT Bonds – An empirical analysis. Journal of Risk and Insurance, 80(2), 401–421.
- GAO, C. (2002). Insurance risks: The role of risk-linked securities and factors affecting their use. United States General Accounting Office, 1–32.
- Gardoni, P., Der Kiureghian, A., & Mosalam, K. M. (2002). Probabilistic capacity models and fragility estimates for reinforced concrete columns based on experimental observations. Journal of Engineering Mechanics, 128(10), 1024–1038.
- Gardoni, P., & LaFave, J. (Eds.). (2016). Multi-hazard approaches to civil infrastructure engineering. Switzerland: Springer International Publishing.
- Gardoni, P., Murphy, C., & Rowell, A. (Eds.). (2016). Societal risk management of natural hazards. Switzerland: Springer International Publishing.
- Goda, K. (2013). Basis risk of earthquake catastrophe bond trigger using scenario-based versus station intensity-based approaches: A case study for southwestern British Columbia. Earthquake Spectra, 29(3), 757–775.
- Goda, K. (2015). seismic risk management of insurance portfolio using catastrophe bonds. Computer-Aided Civil and Infrastructure Engineering, 30(7), 570–582.
- Grace, M. F., Klein, R. W., Kleindorfer, P. R., & Murray, M. R. (2003). Catastrophe insurance: consumer demand. In Markets and regulation (pp. 7–37). Boston, MA: Springer.
- Grossi, P., & Kunreuther, H. (2005). Catastrophe modeling: A new approach to managing risk. Springer.
- Härdle, W. K., & Cabrera, B. L. (2010). Calibrating CAT bonds for Mexican earthquakes. The Journal of Risk and Insurance, 77(3), 625–650.
- Holzheu, T. (2004). Alternative risk transfer (ART) products. In R. Gastel (Ed.), Reinsurance: Fundamentals and new challenges (4th ed.). New York, NY: Insurance Information Institute.
- Jaeger, L., Mueller, S., & Scherling, S. (2010). Insurance-linked securities: What drives their returns? Journal of Alternative Investments, 13(2), 9–34.
- Jaimungal, S., & Chong, Y. (2013). Valuing clustering in catastrophe derivatives. Quantitative Finance, 14, 259–270.
- Kumar, R., Cline, D. B. H., & Gardoni, P. (2015). A stochastic framework to model deterioration in engineering systems. Structural Safety, 53, 36–43.
- Kunreuther, H. (2001). Mitigation and financial risk management for natural hazards. The Geneva Papers on Risk and Insurance, 26(2), 277–296.
- Lalonde, D. (2005). Risk financing. In P. Grossi & H. Kunreuther (Eds.), Catastrophe modeling: A new approach to managing risk (pp. 135–164). Springer.
- Lee, J. P., & Yu, M. T. (2002). Pricing default-risky CAT bonds with moral hazard and basis risk. The Journal of Risk and Insurance, 69(1), 25–44.
- Munich, R., NatCatSERVICE. (2011) NATHAN World Map of natural hazards, version 2011. Munchener Ruckversicherungs-Gesellschaft, Geo Risks Research, NatCatSERVICE.
- Nakagawa, T. (Ed.). (2011). Stochastic processes: With applications to reliability theory. London: Springer-Verlag.
- Remillard, B. (2013). Statistical methods for financial engineering. New York: CRC Press.
- Richards, F. S. G. (1961). A method of maximum likelihood estimation. Journal of the Royal Statistical Society, 23, 469–475.
- Sánchez-Silva, M., & Klutke, G. A. (Eds.). (2016). Reliability and life-cycle analysis of deteriorating systems. Switzerland: Springer International Publishing.
- Shao, J. (2015). modelling catastrophe risk bond (PhD Thesis). Mathematical Science – University of Liverpool.
- Shao, J., Papaioanou, A. D., & Pantelous, A. A. (2017). Pricing and simulating catastrophe risk bonds in a Markov-dependent environment. Applied Mathematics and Computation, 309, 68–84.
- Shirakawa, H. (2002). Squared Bessel processes and their applications to the square root interest rate model. Asia-Pacific Financial Markets, 9(3–4), 169–190.
- Sibindi, A. B. (2015). The art of alternative risk transfer methods of insurance. Risk Governance & Control: Financial Markets & Institutions, 5(4), 223–232.
- Takahaschi, Y. (2017). Innovative derivatives to drive investment in earthquake protection technologies. In P. Gardoni (Ed.), Risk and reliability analysis: Theory and applications (pp. 537–559). Springer International Publishing.
- Young, V. R. (2004). Pricing in an incomplete market with an affine term structure. Mathematical Finance, 14(3), 359–381.
- Zimbidis, A. A., Frangos, N. E., & Pantelous, A. A. (2007). Modeling earthquake risk via extreme value theory and pricing the respective catastrophe bonds. ASTIN Bulletin, 37(1), 163–184.