@misc{Nowak_Piotr_Developments_2010,
 author={Nowak, Piotr and Romaniuk, Maciej},
 copyright={Creative Commons Attribution BY 4.0 license},
 address={Warszawa},
 journal={Książka = Book},
 howpublished={online},
 year={2010},
 publisher={Instytut Badań Systemowych. Polska Akademia Nauk},
 publisher={Systems Research Institute. Polish Academy of Sciences},
 language={eng},
 abstract={In this paper we evaluate the model of portfolio which consists of a few layers of insurance and financial instruments. The approach based on neutral martingale method and Monte Carlo simulations is used. In order to price the catastrophe bond we use fuzzy parameters and apply Vasicek model under assumption of independence between catastrophe occurrence and behaviour of financial market. Then the simulations based on the obtained fuzzy pricing formula are carried out. The presented fuzzy sets approach may incorporate expertise knowledge to overcome lack of precise data in the discussed case.},
 type={Text},
 title={Developments in fuzzy sets, intuitionistic fuzzy sets, generalized nets and related topics. Volume II: Applications * Fuzzy approach to evaluation of portfolio of financial and insurance instruments},
 URL={http://www.rcin.org.pl/Content/198370/PDF/KS-2010-06-T2P16.pdf},
}