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    Valuing Multirisk Catastrophe Reinsurance Based on the Cox–Ingersoll–Ross (CIR) Model by Wen Chao

    Published 2021-01-01
    “…Furthermore, the parameters of the valuing model are estimated and calibrated by using the Global Flood Date provided by Dartmouth College from 2000 to 2016. Finally, the value of catastrophe reinsurance is derived and a sensitivity analysis of how stochastic interest rates and catastrophe dependence affect the values is performed via Monte Carlo simulations. …”
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