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

Table 4

The sensitivity of intensity to cat bond when .

Intensity	1	2	3	4	5
Coupon discount	6.8436	5.4078	4.2841	3.3853	2.6808
Principal discount	77.9042	64.2392	53.1307	43.8916	36.4381
Bond prices	84.3878	69.6470	57.4148	47.2769	39.1189
Future principal	82.6978	68.1919	56.4000	46.5924	38.6802