期刊名称：Journal of Automation, Mobile Robotics & Intelligent Systems (JAMRIS)
印刷版ISSN：1897-8649
电子版ISSN：2080-2145
出版年度：2014
卷号：8
期号：3
页码：19
DOI：10.14313/JAMRIS_3-2014/23
出版社：Industrial Research Inst. for Automation and Measurements, Warsaw
摘要：The number and amount of losses caused by natural catastrophes are important problems for insurance in- dustry. New financial instruments were introduce to transfer risks from insurance to financial market. In this paper we consider the problem of pricing such instru- ments, called the catastrophe bonds (CAT bonds). We derive valua.on formulas using stochas.c analysis and fuzzy sets theory. As model of short interest rate we ap- ply the one-factor Cox–Ingersoll–Ross (CIR) model. In this paper we treat the vola.lity of the interest rate as a fuzzy number to describe uncertainty of the market. We also apply the Monte Carlo approach to analyze the obtained cat bond fuzzy prices.
关键词：asset pricing; catastrophe bonds; CIR model; ; stochas.c analysis; Monte Carlo simula.ons; fuzzy num- ; bers
