Processing math: 30%
Mildenhall, Stephen J. 2023. “Pricing Seasonal Peril Catastrophe Bonds: A Simplified Approach.” Variance 16 (1).
• Figure 2. The survival probability of a bond written on January 1 with annual event intensity $\lambda=0.0725$ over a 3-year term. The straight line shows probabilities using a constant hazard rate of $\lambda$.
• Figure 3. Determining the price of a seasonal catastrophe bond. Left: the expected present value of benefit factor, $\bar A^{1}_{x:\overline{n}\kern{-1.0pt}|}$. Middle: the expected present value factor for the coupon, i.e., premium income, over the life of the bond, $\bar a_{x:\overline{n}\kern{-1.0pt}|}$. Right: the price $c$ assuming $Y=1$.
• Figure 4. Price $c_x$ against annual intensity $\lambda$ for January 1, March 1, June 1, September 1, and December 1 effective dates, realistic range of $\lambda$. The gray line shows the identity $c=\lambda$.
• Figure 5. Price $c_x$ against annual intensity $\lambda$ for January 1, March 1, June 1, September 1, and December 1 effective dates, large $\lambda$ to show trends.
• Figure 6. The value of a bond written January 1 through the year. Assumes $\lambda=0.0725$, $i=0.02$, and no partial losses. Par value 100.