Stochastic time changes in catastrophe option pricing (Q1381450): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q214239 |
||
| Property / author | |||
| Property / author: Hélyette Geman / rank | |||
Revision as of 23:49, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic time changes in catastrophe option pricing |
scientific article |
Statements
Stochastic time changes in catastrophe option pricing (English)
0 references
17 March 1998
0 references
layers of reinsurance
0 references
insurance markets completeness
0 references
Poisson-diffusion model
0 references
stochastic time change
0 references
catastrophe insurance derivatives
0 references
dynamics of the aggregate claim index
0 references
geometric Brownian motion
0 references
