{"id":"https://openalex.org/W2288248121","doi":"https://doi.org/10.1007/s00500-015-1957-1","title":"Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making","display_name":"Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making","publication_year":2015,"publication_date":"2015-12-07","ids":{"openalex":"https://openalex.org/W2288248121","doi":"https://doi.org/10.1007/s00500-015-1957-1","mag":"2288248121"},"language":"en","primary_location":{"id":"doi:10.1007/s00500-015-1957-1","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00500-015-1957-1","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00500-015-1957-1.pdf","source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s00500-015-1957-1.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5027801521","display_name":"Piotr Nowak","orcid":"https://orcid.org/0000-0002-9325-4493"},"institutions":[{"id":"https://openalex.org/I99542240","display_name":"Polish Academy of Sciences","ror":"https://ror.org/01dr6c206","country_code":"PL","type":"funder","lineage":["https://openalex.org/I99542240"]},{"id":"https://openalex.org/I66083562","display_name":"Systems Research Institute","ror":"https://ror.org/0111cp837","country_code":"PL","type":"facility","lineage":["https://openalex.org/I66083562","https://openalex.org/I99542240"]}],"countries":["PL"],"is_corresponding":true,"raw_author_name":"Piotr Nowak","raw_affiliation_strings":["Systems Research Institute Polish Academy of Sciences, ul. Newelska 6, 01-447, Warsaw, Poland"],"affiliations":[{"raw_affiliation_string":"Systems Research Institute Polish Academy of Sciences, ul. Newelska 6, 01-447, Warsaw, Poland","institution_ids":["https://openalex.org/I66083562","https://openalex.org/I99542240"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5038293463","display_name":"Maciej Romaniuk","orcid":"https://orcid.org/0000-0001-9649-396X"},"institutions":[{"id":"https://openalex.org/I66083562","display_name":"Systems Research Institute","ror":"https://ror.org/0111cp837","country_code":"PL","type":"facility","lineage":["https://openalex.org/I66083562","https://openalex.org/I99542240"]},{"id":"https://openalex.org/I99542240","display_name":"Polish Academy of Sciences","ror":"https://ror.org/01dr6c206","country_code":"PL","type":"funder","lineage":["https://openalex.org/I99542240"]},{"id":"https://openalex.org/I111702420","display_name":"John Paul II Catholic University of Lublin","ror":"https://ror.org/04qyefj88","country_code":"PL","type":"education","lineage":["https://openalex.org/I111702420"]}],"countries":["PL"],"is_corresponding":false,"raw_author_name":"Maciej Romaniuk","raw_affiliation_strings":["Systems Research Institute Polish Academy of Sciences, ul. Newelska 6, 01-447, Warsaw, Poland","The John Paul II Catholic University of Lublin, Lublin, Poland"],"affiliations":[{"raw_affiliation_string":"Systems Research Institute Polish Academy of Sciences, ul. Newelska 6, 01-447, Warsaw, Poland","institution_ids":["https://openalex.org/I66083562","https://openalex.org/I99542240"]},{"raw_affiliation_string":"The John Paul II Catholic University of Lublin, Lublin, Poland","institution_ids":["https://openalex.org/I111702420"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5027801521"],"corresponding_institution_ids":["https://openalex.org/I66083562","https://openalex.org/I99542240"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":{"value":2390,"currency":"EUR","value_usd":2990},"fwci":5.208,"has_fulltext":true,"cited_by_count":26,"citation_normalized_percentile":{"value":0.95386251,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"21","issue":"10","first_page":"2575","last_page":"2597"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9976999759674072,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/vasicek-model","display_name":"Vasicek model","score":0.9482814073562622},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.6556379199028015},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.5727764368057251},{"id":"https://openalex.org/keywords/fuzzy-logic","display_name":"Fuzzy logic","score":0.5475971102714539},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.49493640661239624},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.49091845750808716},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.4857333302497864},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.48519304394721985},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.44802388548851013},{"id":"https://openalex.org/keywords/bond-valuation","display_name":"Bond valuation","score":0.41534551978111267},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.36923515796661377},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.36789458990097046},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.365054726600647},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.30822277069091797},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.2561396360397339},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.227630615234375},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.17678648233413696},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1597917079925537}],"concepts":[{"id":"https://openalex.org/C201608381","wikidata":"https://www.wikidata.org/wiki/Q2331759","display_name":"Vasicek model","level":3,"score":0.9482814073562622},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.6556379199028015},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.5727764368057251},{"id":"https://openalex.org/C58166","wikidata":"https://www.wikidata.org/wiki/Q224821","display_name":"Fuzzy logic","level":2,"score":0.5475971102714539},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.49493640661239624},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.49091845750808716},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.4857333302497864},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.48519304394721985},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.44802388548851013},{"id":"https://openalex.org/C32959826","wikidata":"https://www.wikidata.org/wiki/Q2361268","display_name":"Bond valuation","level":3,"score":0.41534551978111267},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.36923515796661377},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.36789458990097046},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.365054726600647},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.30822277069091797},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2561396360397339},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.227630615234375},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.17678648233413696},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1597917079925537}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s00500-015-1957-1","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00500-015-1957-1","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00500-015-1957-1.pdf","source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft Computing","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1007/s00500-015-1957-1","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00500-015-1957-1","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00500-015-1957-1.pdf","source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft Computing","raw_type":"journal-article"},"sustainable_development_goals":[{"score":0.8100000023841858,"id":"https://metadata.un.org/sdg/16","display_name":"Peace, Justice and strong institutions"}],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2288248121.pdf","grobid_xml":"https://content.openalex.org/works/W2288248121.grobid-xml"},"referenced_works_count":44,"referenced_works":["https://openalex.org/W10172673","https://openalex.org/W90477301","https://openalex.org/W631588329","https://openalex.org/W1491028738","https://openalex.org/W1529327107","https://openalex.org/W1534289715","https://openalex.org/W1975331686","https://openalex.org/W1977914365","https://openalex.org/W1978436410","https://openalex.org/W1983886831","https://openalex.org/W1988389963","https://openalex.org/W1989445976","https://openalex.org/W1992870153","https://openalex.org/W2013360287","https://openalex.org/W2017545778","https://openalex.org/W2022010525","https://openalex.org/W2033972209","https://openalex.org/W2048066578","https://openalex.org/W2052280122","https://openalex.org/W2055055346","https://openalex.org/W2076512801","https://openalex.org/W2079594645","https://openalex.org/W2093132309","https://openalex.org/W2104685380","https://openalex.org/W2117106078","https://openalex.org/W2137029996","https://openalex.org/W2167477526","https://openalex.org/W2337641448","https://openalex.org/W2343933811","https://openalex.org/W2467466301","https://openalex.org/W2470953135","https://openalex.org/W2478033042","https://openalex.org/W2486573720","https://openalex.org/W2492076127","https://openalex.org/W2498634568","https://openalex.org/W2502776718","https://openalex.org/W2505889273","https://openalex.org/W2909309335","https://openalex.org/W3143262514","https://openalex.org/W4235143601","https://openalex.org/W4236762322","https://openalex.org/W4241700092","https://openalex.org/W4242278503","https://openalex.org/W4242527674"],"related_works":["https://openalex.org/W2166298757","https://openalex.org/W78903400","https://openalex.org/W3044342492","https://openalex.org/W1571724187","https://openalex.org/W3136500995","https://openalex.org/W2182957183","https://openalex.org/W1607691284","https://openalex.org/W3144451593","https://openalex.org/W2154483622","https://openalex.org/W2140496161"],"abstract_inverted_index":{"Catastrophe":[0],"bonds":[1],"are":[2],"financial":[3,14],"instruments,":[4],"which":[5],"enable":[6],"to":[7,13],"transfer":[8],"the":[9,31,50,75,89,92],"natural":[10,72],"catastrophe":[11,26,41],"risk":[12],"markets.":[15],"This":[16],"paper":[17],"is":[18,47],"a":[19],"continuation":[20],"of":[21,33,38],"our":[22],"earlier":[23],"research":[24],"concerning":[25],"bond":[27,78],"pricing.":[28],"We":[29],"assume":[30],"absence":[32],"arbitrage":[34],"and":[35,56],"neutral":[36],"attitude":[37],"investors":[39],"toward":[40],"risk.":[42],"The":[43],"interest":[44],"rate":[45],"behavior":[46],"described":[48],"by":[49],"two-factor":[51],"Vasicek":[52],"model.":[53],"To":[54],"illustrate":[55],"analyze":[57],"obtained":[58],"results,":[59],"we":[60,81,95],"conduct":[61],"Monte":[62],"Carlo":[63],"simulations,":[64],"using":[65],"parameters":[66],"fitted":[67],"for":[68,100],"real":[69],"data":[70],"on":[71,91],"catastrophes.":[73],"Besides":[74],"crisp":[76],"cat":[77],"pricing":[79],"formulas,":[80],"obtain":[82],"their":[83],"fuzzy":[84,104],"counterparts,":[85],"taking":[86],"into":[87],"account":[88],"uncertainty":[90],"market.":[93],"Moreover,":[94],"propose":[96],"an":[97],"automated":[98],"approach":[99],"decision":[101],"making":[102],"in":[103],"environment":[105],"with":[106],"relevant":[107],"examples":[108],"presenting":[109],"this":[110],"method.":[111]},"counts_by_year":[{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":3}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
