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

Table 2

Summary of the statistical tests for the Poisson intensity.

Poisson intensity	Performance
	RMSE	MAE	MAPE	U	E	d
	2.3807	1.8595	0.0695	0.0443	0.7964	0.9406
3.5495		2.9540	0.1099	0.0602	0.5475	0.8341
	5.2764	4.6800	0.1780	0.0990

Note: the optimum value is in boldface.