Valuing Catastrophe Bonds Involving Credit Risks

Table 3

Default rates of risk bonds.

Time period	0-1 (𝜆1)	1-2 (𝜆2)	2-3 (𝜆3)	3-4 (𝜆4)	4-5 (𝜆5)
Default rate	5.92%	9.86%	13.77%	8.72%	8.23%