Estimating the value of the wincat coupons of the winterthur insurance convertible bond: A study of the model risk

ASTIN Bulletin

Volumn 29, Issue 1, 1999, Pages 101-163

  Schmock, Uwe ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

(generalised) Pareto distribution; catastrophe bond; changepoint; composite Poisson model; generalised extreme value distribution; generalised linear model; hail; model risk; peaks over threshold; storm; Wincat coupon; Winterthur Insurance

Indexed keywords

EID: 85011436302     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.29.1.504608     Document Type: Article

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