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Catastrophe Bond Diversification Strategy Using Probabilistic–possibilistic Bijective Transformation And Credibility Measures In Fuzzy Environment

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dc.contributor.authorWulan Anggraeni
dc.contributor.authorSudradjat Supian
dc.contributor.authorSukono
dc.contributor.authorNurfadhlina Abdul Halim
dc.date.accessioned2024-06-16T06:29:49Z
dc.date.available2024-06-16T06:29:49Z
dc.date.issued2023
dc.date.submitted2024-1-23
dc.descriptionmathematics Volume 11 Issue 16 Page (1-30)
dc.description.abstractThe 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.
dc.identifier.citationWulan Anggraeni, Sudradjat Supian, None Sukono, & Nurfadhlina Abdul Halim. (2023). Catastrophe Bond Diversification Strategy Using Probabilistic–Possibilistic Bijective Transformation and Credibility Measures in Fuzzy Environment. Mathematics, 11(16), 3513–3513. https://doi.org/10.3390/math11163513
dc.identifier.doi10.3390/math11163513
dc.identifier.epage30
dc.identifier.issn2227-7390
dc.identifier.issue16
dc.identifier.other2353-23
dc.identifier.spage1
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/19551
dc.identifier.volume11
dc.language.isoen_US
dc.publisherMDPI
dc.relation.ispartofMathematics
dc.relation.issn2314-4785
dc.relation.journalmathematics
dc.subjectcatastrophe bond
dc.subjectpayoff function
dc.subjectpossibilistic–probabilistic bijective transformation
dc.subjectcredibility measures
dc.subjectfuzzy environment
dc.titleCatastrophe Bond Diversification Strategy Using Probabilistic–possibilistic Bijective Transformation And Credibility Measures In Fuzzy Environment
dc.typetext::journal::journal article
dspace.entity.typePublication
oaire.citation.endPage30
oaire.citation.issue16
oaire.citation.startPage1
oaire.citation.volume11
oairecerif.author.affiliation#PLACEHOLDER_PARENT_METADATA_VALUE#
oairecerif.author.affiliation#PLACEHOLDER_PARENT_METADATA_VALUE#
oairecerif.author.affiliation#PLACEHOLDER_PARENT_METADATA_VALUE#
oairecerif.author.affiliationUniversiti Sains Islam Malaysia

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