A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (arXiv:2205.04520v1 [q-fin.PR])

Catastrophe (CAT) bond markets are incomplete and hence carry uncertainty in
instrument pricing. As such various pricing approaches have been proposed, but
none treat the uncertainty in catastrophe occurrences and interest rates in a
sufficiently flexible and statistically reliable way within a unifying asset
pricing framework. Consequently, little is known empirically about the expected
risk-premia of CAT bonds. The primary contribution of this paper is to present
a unified Bayesian CAT bond pricing framework based on uncertainty
quantification of catastrophes …

arxiv bayesian catastrophe derivatives framework pr pricing