Discrete Dynamics in Nature and Society / 2018 / Article / Tab 3

Research Article

Multiple-Event Catastrophe Bond Pricing Based on CIR-Copula-POT Model

Table 3

Basic parameter values.

Text interpretation Symbol Value

Initial interest rate value0.02
Speed of mean-reverting0.004
Long-run interest rate mean0.02
Volatility of the interest rate0.006
Poisson process intensity3
Face value100 USD
Coupon value3 USD
Maturity time (year)3
Attachment point of losses19.5471 USD
Attachment point of deaths4.7005 USD

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