3 papers
math.NA2026
Asymmetric Lévy walks driven by convex combination of fractional material derivatives
Łukasz Płociniczak, Marek A. Teuerle, Hubert Woszczek
We analyze a class of linear partial differential equations that arise as deterministic descriptions of the scaling limits of Lévy walks, in which transport is driven by a convex c…
q-fin.PR2025
Modelling and valuation of catastrophe bonds across multiple regions
Krzysztof Burnecki, Marek Teuerle, Martyna Zdeb
The insurance-linked securities (ILS) market, as a form of alternative risk transfer, has been at the forefront of innovative risk-transfer solutions. The catastrophe bond (CAT bon…
q-fin.PR2025
Design and valuation of multi-region CoCoCat bonds
Jacek Wszoła, Krzysztof Burnecki, Marek Teuerle +1
This paper introduces a novel multidimensional insurance-linked instrument: a contingent convertible bond (CoCoCat bond) whose conversion trigger is activated by predefined natural…