Discrete Dynamics in Nature and Society / 2018 / Article / Tab 5

Research Article

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

Table 5

The sensitivity of maturity to cat bond when .

Maturity 12345

Coupon discount1.44842.87744.27915.65326.9923
Principal discount80.763365.430653.162543.046534.8572
Bond prices82.211768.310057.441748.699741.8495
Future principal82.392468.092656.433746.607038.4900

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