| Autor: |
Wulan Anggraeni, Sudradjat Supian, Sukono, Nurfadhlina Abdul Halim |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Mathematics, Vol 11, Iss 16, p 3513 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2227-7390 |
| DOI: |
10.3390/math11163513 |
| Popis: |
The variety of catastrophe bond issuances can be used for portfolio diversification. However, the structure of catastrophe bonds differs from traditional bonds in that the face value and coupons depend on triggering events. This study aims to build a diversification strategy model framework using probabilistic–possibilistic bijective transformation (PPBT) and credibility measures in fuzzy environments based on the payoff function. The stages of modeling include identifying the trigger distribution; determining the membership degrees for the face value and coupons using PPBT; calculating the average face value and coupons using the fuzzy quantification theory; formulating the fuzzy variables for the yield; defining the function of triangular fuzzy membership for the yield; defining the credibility distribution for the triangular fuzzy variables for the yield; determining the expectation and total variance for the yield; developing a model of the catastrophe bond diversification strategy; the numerical simulation of the catastrophe bond strategy model; and formulating a solution to the simulation model of the diversification strategy using the sequential method, quadratic programming, transformation, and linearization techniques. The simulation results show that the proposed model can overcome the self-duality characteristic not possessed by the possibilistic measures in the fuzzy variables. The results obtained are expected to contribute to describing the yield uncertainty of investing in catastrophe bond assets so that investors can make wise decisions. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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