A Bayesian Pricing Model for CAT Bonds

Ahens, Frieder
Kestel, Sevtap Ayşe
Fuess, Roland


A Bayesian pricing model for CAT bonds
Frıeder, Ahrens; Fuess, Roland; Kestel, Sevtap Ayşe (Springer, 2014-01-01)
This paper examines the impact of the 2005 hurricane season, particularly Hurricane Katrina, on the pricing of CAT bonds. We examine whether highly rated CAT bonds demonstrate a different relationship than subinvestment bonds between objective risk measures and the spread. The theoretical framework for this relationship is based on the Lance Financial (LFC) model, introduced by Lane (Rationale and results with the LFC cat bond pricing model, Discussion paper, Lane Financial LLC, Wilmette, 2003). The empiric...
A probabilistic model for CPT-based soil classification
Çetin, Kemal Önder (2003-07-09)
Due to lack of soil sampling during a conventional cone penetration testing, it is necessary to classify soils based on recorded tip and sleeve friction values. Currently available semi-empirical methods of Robertson and Wride (1997) and Olsen and Mitchell (1995) exhibit a significant variability in the estimation of soil type based on cone penetration test (CPT) data. Thus within the confines of this paper it is attempted to present a new probabilistic CPT-based soil classification methodology which addres...
A Neurofuzzy network model for rule-based systems
Bilen, Esin; Alpaslan, Ferda N.; Department of Computer Engineering (1997)
A mathematical model for urban storm drainage system design
Pekçağlıyan, Mehmet Doğan; Akan, Osman; Department of Civil Engineering (1981)
A stochastic model for the assessment of earthquake insurance premiums
Bulak, Behiç Serhat; Yücemen, M. Semih; Department of Civil Engineering (1997)
Citation Formats
F. Ahens, S. A. Kestel, and R. Fuess, “A Bayesian Pricing Model for CAT Bonds,” 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/69407.