论文标题
使用Ltration理论的扩大：一个通用框架，定价零鸡蛋猫键
Pricing zero-coupon CAT bonds using the enlargement of ltration theory: a general framework
论文作者
论文摘要
本文的主要目的是使用Ltration框架的扩大来定价零猫键。为此，我们开发了两个模型，在这些模型中，触发事件时间被相对于参考ltration的停止时间的序列越来越多。因此，根据这些停止时间的性质，触发事件时间可以访问或完全无法访问。当其中一些停止时间无法预测时，触发事件时间是完全无法访问的，并且可以得出非常好的数学计算。当停止时间可预测时，触发事件时间将可以访问，从实际角度来看，这种情况将是模型1的有意义的选择，因为诸如季节性之类的特征已经被诸如Poisson过程的随机强度等数量所捕获。我们计算了定价零型猫键的主要工具，并表明我们的构造比文献中的某些现有模型更一般。我们在模型2中获得了零息猫键的一些封闭形式的价格，因此我们为后者提供了一个数字说明性示例。
The main goal of this paper is to use the enlargement of ltration framework for pricing zerocoupon CAT bonds. For this purpose, we develop two models where the trigger event time is perfectly covered by an increasing sequence of stopping times with respect to a reference ltration. Hence, depending on the nature of these stopping times the trigger event time can be either accessible or totally inaccessible. When some of these stopping times are not predictable, the trigger event time is totally inaccessible, and very nice mathematical computations can be derived. When the stopping times are predictable, the trigger event time is accessible, and this case would be a meaningful choice for Model 1 from a practical point of view since features like seasonality are already captured by some quantities such as the stochastic intensity of the Poisson process. We compute the main tools for pricing the zero-coupon CAT bond and show that our constructions are more general than some existing models in the literature. We obtain some closed-form prices of zero-coupon CAT bonds in Model 2 so we give a numerical illustrative example for this latter.
