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

Table 6

Effect of dependence .

	0.0578	0.4578	0.8578	1.2578	1.6578
	0.0281	0.1862	0.3001	0.3861	0.4532
Principal discount	0.0646	0.0809	0.0941	0.1056	0.1154
Trigger frequency of two indicators triggered	82.2117	68.3100	57.4417	48.6997	41.8495
Bond prices	64.0219	57.3949	52.5902	48.5170	45.7122

Note. The stimulation times is 100,000.