CAT Bond Spreads via HARA Utility and Nonparametric Tests

Denis-Alexandre Trottier; Van Son Lai; Anne-Sophie Charest

doi:10.3905/jfi.2018.1.062

CAT Bond Spreads via HARA Utility and Nonparametric Tests

Denis-Alexandre Trottier, Van Son Lai and Anne-Sophie Charest

The Journal of Fixed Income Summer 2018, 28 (1) 75-99; DOI: https://doi.org/10.3905/jfi.2018.1.062

Denis-Alexandre Trottier

is a PhD student in financial engineering at Laval University in Quebec, Canada

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Van Son Lai

is a professor of finance at Laval University in Quebec, Canada, and an affiliate research fellow at IPAG Business School in Paris, France

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Anne-Sophie Charest

is a professor of probability and statistics at Laval University in Quebec, Canada

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Vol. 28, Issue 1

Summer 2018

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CAT Bond Spreads via HARA Utility and Nonparametric Tests