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

Table 5

The sensitivity of maturity to cat bond when .

Maturity	1	2	3	4	5
Coupon discount	1.4484	2.8774	4.2791	5.6532	6.9923
Principal discount	80.7633	65.4306	53.1625	43.0465	34.8572
Bond prices	82.2117	68.3100	57.4417	48.6997	41.8495
Future principal	82.3924	68.0926	56.4337	46.6070	38.4900