Utility indifference pricing of insurance catastrophe derivatives (Q1689030): Difference between revisions

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+Markov decision processes with applications to finance.
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+Valuation of structured risk management products
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+Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
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+Q3136505
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+Indifference prices of structured catastrophe (CAT) bonds
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+An optimal investment strategy with maximal risk aversion and its ruin probability
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+Stochastic time changes in catastrophe option pricing
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+Catastrophe options with stochastic interest rates and compound Poisson losses
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+Utility indifference pricing of derivatives written on industrial loss indices
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+The valuation of contingent capital with catastrophe risks
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+Market Price of Insurance Risk Implied by Catastrophe Derivatives
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+Probability, Statistics, and Stochastic Processes
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+Another Proof that Convex Functions are Locally Lipschitz
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