Pricing Zero-Coupon Catastrophe Bonds Using EVT with Doubly Stochastic Poisson Arrivals

Table 1

Summary statistics for PCS loss index.

Statistic	Value	Percentile	Value
Sample size	260	Min	0.2541
Range	458.63	5%	0.5471
Mean	8.7048	10%	0.7574
Variance	1213.4	25% (Q1)	1.2697
Std. deviation	34.834	50% (Median)	2.1332
Coef. of variance	4.0017	75% (Q3)	5.0707
Std. error	2.1603	90%	11.451
Skewness	9.8807	95%	24.0
Excess kurtosis	115.24	Max	458.88

Unit: one hundred million dollars.