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An Application of Geometric Riemannian Pricing Algorithm for Valuing Catastrophe Bonds in Incomplete Markets: Market-Consistent Financial Entropy and the Split of Frequency and Severity Risk Premia
This paper presents a framework for pricing catastrophe (CAT) bonds in incomplete markets through Riemannian geometric optimization of financial entropy. We formulate pricing-measure selection as a maximum financial entropy problem on a finite-dimensional manifold of equivalent measures, parameteriz
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