Valuing Multirisk Catastrophe Reinsurance Based on the Cox–Ingersoll–Ross (CIR) Model

Table 3

Basic parameter values.

Text interpretation	Symbol	Value
Initial interest rate value		0.03
Speed of mean-reverting		0.04
Long run interest rate mean		0.03
Volatility of the interest rate		0.02
Attachment point		368.49 million dollars
Maturity time (year)		1
Claim coefficient of damage areas (sq. km)		1 million dollars
Claim coefficient of deaths (one person)		0.3 million dollars