Saeid Safarveisi Releases Geometric Riemannian Pricing Paper for Catastrophe Bonds in Incomplete Markets
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Saeid Safarveisi released a paper on arXiv q-fin on October 28, 2026, proposing a non-complete market catastrophe (CAT) bond pricing framework based on financial entropy Riemannian geometry optimization. This framework transforms the pricing measure selection into a maximum financial entropy problem on a finite-dimensional manifold of equivalent measures, parameterized by the unhedgeable market prices of catastrophe frequency and severity risks, with fixed discounting using the risk-free term structure. The paper uses a hypothetical earthquake catastrophe bond calibrated to the quarterly spreads of Golden State Re II Ltd. (Series 2014-1) as a sample, calculating that the risk-neutral trigger intensity is 6.58 to 10.45 times the physical intensity, corresponding to physical intensities of 9.20 for the merged value and 18.26 for the end-of-2015 value.
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- arXiv q-finApplication of Geometric Riemann Pricing Algorithm in Incomplete Market Catastrophe Bond Valuation: Market-Consistent Financial Entropy and Frequency-Severity Risk Premium Decomposition
This study proposes an incomplete market catastrophe (CAT) bond pricing framework based on financial entropy Riemannian geometric optimization, transforming pricing measure selection into a maximum financial entropy problem on finite-dimensional manifolds of equivalent measures. It uses unhedgeable market prices of catastrophe frequency and severity risks as parameters, with fixed discounting under a risk-free term structure.
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