Yumiharu NAKANO, Tokyo Institute of Technology

Title: On the design of catastrophe bonds

Abstract:
The aim of this presentation is to solve the optimal design problem of
catastrophe bonds in the situation where the agents can make risky
investments in continuous time.
We derive explicit representations for an optimal price and coupon
 payments by finding the optional decomposition of the minimal hedging
price process defined by the principal of the bond.

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