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

Table 4

The zero-coupon CAT bond prices with trading time to expiry .

	Threshold level (D)
	10000	12000	14000	15000	16000	18000	200000
	0.85979	0.87052	0.87703	0.87940	0.88139	0.88451	0.88686
	0.85291	0.86607	0.87370	0.87644	0.87871	0.88225	0.88488
	0.84807	0.86383	0.87277	0.87595	0.87857	0.88263	0.88563
	0.82802	0.84938	0.86050	0.86432	0.86744	0.87443	0.87900
	0.79958	0.83459	0.85176	0.85713	0.86136	0.86765	0.87211
	0.71016	0.78851	0.83038	0.84227	0.85026	0.86082	0.86766
	0.85435	0.86670	0.87409	0.87677	0.87907	0.88252	0.88514
	0.84583	0.86149	0.87028	0.87341	0.87599	0.87999	0.88296
	0.83958	0.85842	0.86888	0.87245	0.87544	0.88005	0.88345
	0.81497	0.84244	0.85567	0.86014	0.86374	0.86921	0.87583
	0.77814	0.82329	0.84477	0.85132	0.85638	0.86376	0.86892
	0.68427	0.76604	0.81381	0.82973	0.84100	0.85456	0.86289
	0.84853	0.86269	0.87103	0.87405	0.87655	0.88046	0.88338
	0.83771	0.85659	0.86670	0.87025	0.87316	0.87766	0.88098
	0.82996	0.85261	0.86462	0.86878	0.87218	0.87738	0.88119
	0.80197	0.83468	0.85048	0.85567	0.85983	0.86607	0.87155
	0.75495	0.81135	0.83677	0.84487	0.85094	0.85960	0.86555
	0.66265	0.73558	0.79589	0.81432	0.82917	0.84737	0.85762
	0.84230	0.85849	0.86787	0.87123	0.87401	0.87835	0.88158
	0.82974	0.85130	0.86293	0.86694	0.87022	0.87525	0.87894
	0.81878	0.84631	0.86019	0.86493	0.86876	0.87461	0.87886
	0.78749	0.82580	0.84486	0.85090	0.85567	0.86278	0.86783
	0.73149	0.79677	0.82715	0.83756	0.84494	0.85514	0.86199
	0.64217	0.70692	0.77544	0.79836	0.81474	0.83888	0.85173
	0.83556	0.85407	0.86458	0.86831	0.87140	0.87619	0.87973
	0.82113	0.84553	0.85894	0.86348	0.86715	0.87275	0.87684
	0.80613	0.83943	0.85549	0.86086	0.86518	0.87173	0.87645
	0.77167	0.81523	0.83871	0.84576	0.85125	0.85932	0.86499
	0.70721	0.77951	0.81801	0.82894	0.83823	0.85032	0.85820
	0.62390	0.68638	0.75536	0.77876	0.80034	0.82825	0.84502
	0.82819	0.84942	0.86115	0.86530	0.86870	0.87396	0.87784
	0.81226	0.83908	0.85472	0.85983	0.86394	0.87017	0.87467
	0.79374	0.83183	0.85047	0.85657	0.86143	0.86873	0.87396
	0.75732	0.80475	0.83192	0.84020	0.84652	0.85567	0.86202
	0.68834	0.76069	0.80744	0.82038	0.83045	0.84507	0.85416
	0.60683	0.66721	0.72777	0.76147	0.78190	0.81540	0.83718

Note: other parameter values are and , , and .